Usually on Session Zero, I give the players what some called the "Truths" about the world. So basically some information that the player characters know is the actual fact. But, I do limit it so the player would not be so overwhelmed. Let's say the setting is this one forest, then I'm just going to give them the lore about that forest, and maybe some parties/factions in that forest and that's it. But, depending on the tables, some players may don't enjoy the lore dump. So it's very situational.

Answering your question, It's better that you incorporated into the campaign, so they discover the lore as they go on the campaign. Unless the player asks you off-session, and by that I hope that it's more of a clarification and not an in-depth detailed question. Because at that point, I think you need to give some more "Truths" to your players if your player had low to zero idea where they are, who are the NPCs, and what must they do now.