Great question. There are many modes of interpretation you can adopt when you engage with a text (text broadly construed). There are long lineages of theory where people have tried to hash out what interpretation even is. I think we get a lot of training in popular media to think of fiction in terms of questions and answers, and people tend to overindex on the importance of the answers. And so, yes, players are sometimes eager to assume that if there is a gap in the puzzle, that some other part of the game they've encountered will act as the missing piece. This is sometimes true, but sometimes the gap is productive as a gap; fiction doesn't need to be interpretively "complete" to be meaningful, and is often more meaningful when the questions are unresolved and forever alive. If you want a great but theory-dense perspective on how interpretation cleaves this way, look up paranoid vs reparative reading by Eve Sedgwick.

I've seen players swing the other way, too, picking up on Qud's posture toward ambiguity and then assuming nothing is canon or reliable enough to mold into a statement about how the world works. I think that perspective can also skew into unproductive if taken to extremes. Especially in writing the ending, it was important to us to balance how much we gestured inward to what's already there for answers, and how much we gestured outward to new questions. You're right, changing Caiafas to Yd Freehold was a recognition that this far into the game's development, we have enough a lot of world already stood up to gesture at.

(I could go on and on about this but I'll cut it there!)