I think you're misaprehending what info dumps are, and what the pros mean when they say show don't tell.

Firstly, show don't tell, the ultra-simple example.

Tell: "she was sad/ that made her sad/ she became sad/ect" Show: "She turned away as a single tear escaped down her face/ 'You're a jerk she wailed as she fled down the hallway to her room/etc." Telling is a method of conveying information that is boring, and uninformitive. Saying the someone felt a certain way is less valuable to the reader than showing their reaction to that feeling, which is more dramatically informative, and gives better insight into what a person is like to be around.

Now, on to the info dump- Yes, a lot of times you're going to have to do some telling, to help your reader understand the way things work in your world. For example, such and such a person can throw a fireball by storing and releasing energy from the son/ invoking the fire deity/ psionically concentrating heat. Cool. Fantasy readers I know would dig that kind of info.

What they would not like is a block of paragraphs dissecting the minutae of all available magic in the world and how it works. In other words, your readers want more of an intravenous info drip than a dump. Explain unique aspect of your world as they become relevant to the story.

At it's core, a good story is about drama, about what people think and how they react to challenges and disapointments, and how they relate to eachother. Most important of all, though, is that the reader relates to the characters. In this you're totally right. Most people do not want to immediately be pitched into a battle or ultra romantic scene or elaborate heist. First, they want to get to know the characters, so they can see why they deserve to get their woman/man, or pull off the heist, or triumph in war. My drama teacher once told me that true drama is the events leading up to the sex scene or the fight or whatever, and actually showing those things is just gratuitous fluff. Of course, fantasy readers love fluff, it's why we read fantasy, but it's substance that makes a story worth the read.