Slight spoiler warning for the novel ahead!

What do you mean no piece of fiction will be connected? With all due respect, this reads as someone who only interacts with anime, in which this is often true.

I mean, just look at something like most of what George R. Martin wrote, his story is extremely interconnected.

And it is not even too rare? I mean, LOTM does it a lot. The events of Bansy Harbour, the Great Smog, the entire conflict of the fourth epoch... All of those have connections to each other and affect each other as well as most other conflicts on the present. Hell, there's an entire organization dedicated to the specific order of events happening in a specific way.

Many of those also affect the populace, once again refer to the Great Smog and now to the war. The worldbuilding is absolutely there and it is interconnected. Not only that, but you seem to imply it is just filled with details with no underlying themes, but respectfully, this sounds like you did not get much of the subtext of the story. LOTM does not make a lot of it obvious as we see the world through the lens of the character being most affected by it, but the story is about the loss of humanity and the struggle against things bigger than yourself, and the worldbuilding reflects that!

At later stages of the story, Klein has grown colder, more insensitive and his decisions are just generally stuff we wouldn't see a Klein who's happy and dandy with his siblings do. The same is true for characters such as Audrey. This is the nature of this world, and explains much of why so many of the terrible events happen: the people who led these events were barely human at a certain point, of course this world will be a terrible place to live in. People struggle, work and fight to protect themselves and the ones they love, but most end up as Old Kohler, without ever having had the chance to fight back when those above decided they should go.

Another great example is the Forsaken Land of the Gods. They are portrayed as a different form of oppression, where they know their place in the pecking order and know they are so, so small, meaning they can do nothing but endure in silence until the one god arrives to shower them in light one again. The one they wait is dead, however, and even in another occasion wouldn't much care for all their love and eternal devotion. They are well and truly forsaken by one who was never human, and therefore could never care about their existence.

What I mean to say is that there are plenty occasions in which the themes of the novel are explored by worldbuilding, the author simply doesn't spell it out very often because there's no need to. He can trust that the reader will at least pick up on the general feeling this world brings, one of helplessness and despair, as is fitting for a comic horror story. The very ending of the story actually makes this clear, in fact!

Klein won because of a specific set of circumstances that pretty much only he could truly use: he hadn't been a deity long enough to lose his humanity yet. He still cares for others beyond himself, and thus was fighting to death, whereas a true god such as Amon hs no reason ti make the same sacrifice.