I'm not saying there isn't any mystery, I'm just saying that they aren't throwing in tons of mysteries at once to the viewers, like in Fringe or Lost, for example. I do think that the big mystery of the show is really fascinating and it makes it interesting to watch. But there are also many other aspects that make the show great for me.
I think you are missing the point of this quote. At first, he is saying what everyone BELIEVES had happened, but then he proclaims that it's not at all what had actually happened on that day in 1963.The intro to the show is: "[This is what happened]...Only that's not what happened."
That one line just makes me feel sad inside.