I am expereincing as similar smugness, based on having watched a couple of early episodes, heard people talking about it and formed the nigh instant conclusion that there WAS NO big secret, they were making it up as they went along. The closest opposite expereince I can describe would be the Astro City comic series, where even though the early stories were very unconnected, I had a strong sense that the writers knew EVERYTHING about the background, and the hints really were hints at something they had fully plotted out somewhere, even if they never gave it to us all in one story.

Maybe I was wrong on Astro City, but even if I was, that illusion was powerful stuff in the ye olde willing suspension of disbelief process.