You need to know the basics of what you are doing in an area and how thing there generally work. This is why Blizzard made a mistake by going to the Shadowlands to begin with, the story should have stayed in Northrend, leaving the more cosmic afterlife stuff to be vaguely implied instead of flat out told.
We didnt need to know exactly how the armies of Maldraxxus function, what their army structure is and what the zone looks like. It would have been far more interesting if we are just told that the Shadowlands is protected by a vast army of souls that looks similar to the Scourge. Or that the mushrooms that are seen with the plague of undeath come from Maldraxxus.
Hearing about the Kyrian just raises further questions. Each soul left on Azeroth is another question raised. The idea that the Val'kyr are based on winged humanoids whose job it is to ferry dead souls to the Shadowlands is explanation enough.
By going to the Shadowlands we are left with too many questions that cannot realistically be answered in the time we have, so instead we are left with that horrible in-between where we know too much to have a sense of mystique, and we don't know enough to stop asking questions.
Staying as grounded as possible and then using cosmic stuff as a spice on top is much easier, and tends to work much better.
- - - Updated - - -
We were also only on Argus for a short while, both narratively and in real time. The game didnt need to stretch out content and could instead just focus on the most important bits and leave the rest unsaid.
If the expansion had taken place entirely on Argus then we would have been obliged to more explanations on what happened to the elements, or whether there are different biomes. Or why the Krokuul still exist when the demons have had milennia to simply nuke whatever areas they suspect they might be hiding.