In short, a lot of they key ones do. The fallen are a prime example, especially their relation to the servitores and the implication what exactly taking Sepkis Prime does. The Black Garden legend? Ghost says "We've heard it", its right there. Even the engrams, how they work and the cryptarchs are somewhat explained. It is not black and white, but you can connect the dots as you unlock cards. It also mentions the Last City and its troublesome formation and gives more insight to what is in effect a post appocalyptic setting, except set after everyone calmed down and put down the sports equipement. So yeah, if you enjoy that sort of thing, there is a wealth of lore to be found. Also, it makes it worth it finding all the dead ghosts, each unlocks a short story in context of the world, sometimes from weird perspectives (like the salvage list of a Fallen Dreg)