I think worldbuilding's pretty difficult for games like these in general, since each chapter is basically cutscene (context)->battle->cutscene (aftermath). RPG's typically allow for the player to explore and there's all sorts of ways for exposition when you have that kind of freedom (NPC's, sidequests, etc.), but not so much here. You can't have characters telling the protagonist/player about each and every location like tour guides either and I guess narrators wouldn't work in Fates because of the Avatar. Say what you will about Robin and Corrin but a lot of people found the Avatars really appealing with the customization bit and whatnot, so I don't see IS scrapping Avatars anytime soon.

Having said that, I do think they could've done a better job. Corrin and Azura have a discussion about the differences between Hoshido and Nohr in the Revelation route and speculate what Nohr's motive may be for attacking such a peaceful country, but it's too short and could've easily been broken up into other supports and into the story in tiny pieces. Hell, Shura's backstory made a great entry for looking into why Hoshido isn't all that innocent but they kind of gave up on that.

The game was a bit too ambitious for its own good imo, making the story longer and prolonging their stay in a location and making their presence and interaction more meaningful would've went a long way into worldbuilding but each route already has 27 chapters+endgame. Anyways, keep in mind that it's very difficult to put a game out there. Not say that any flaws that a game has is justified or that any criticisms aren't valid because of the amount of time and effort put into a game, but game designers have to work within some serious limitations. I think it's quite unfortunate that they went in this direction (though I am satisfied with the result, I found the story entertaining, at least) but they were pretty much doomed from the start.