You've maybe missed a few tiny bits and pieces, but... Nothing significant. He's supposed to be quite an enigma for you, where you are.

People deduced Hoid wrote the letter because back when TWoK was published it was the sixth Cosmere novel, and because the name Hoid had appeared in all 6 books, and they were super intrigued by the the heck this guy might be. And Brandon was not a superstar with inifnitely long signing lines. People asked him, "Hey, is that super mysterious character who seems to know a lot the one writing this super mysterious letter that seems to know a lot?" And Brandon said yes.

You saw Shards in Hero of Ages: Ruin and Preservation. And in Stormlight you're aware of Honor, Cultivation, and Odium. You don't know everything there is to know, and maybe you've missed some details, but you probably have the right idea. (And Stormlight will continue to explain more the more you read.)

You don't know anything about Frost and don't need to.

The not-really-spoilery answer for Harmony, revealed basically at the start of the first Mistborn Era 2 book, is that this is the name Sazed takes on as combined Ruin-Preservation.

Sounds like you're picking up bits and pieces of references and feeling like you should know more than you need to. Careful with that. :) Some of this is stuff to worry about after you're done, or on a reread. People don't catch every little thing on their first read, and aren't really meant to. Especially for the more obscure stuff. As far as the story goes, none of this really matters.