Using Sauron as an example, we don't actually learn that Sauron and Gandalf are from the same class of beings until the Silmarillion. There is a ton left 'unknown' about Sauron in the LotR because it simply isn't relevant to the story Tolkien was telling. He is the dark lord. Do you need to know that he wasn't the first dark lord, that Morgoth was, for the story of the One Ring to make sense? I mean it's interesting, but ultimately it weakens Sauron's role in the narrative. You'd be wondering about Morgoth and what he got up to instead of Sauron, the primary antagonist of the story.
I'm personally a big fan of deep history but one needs to appreciate the reality of history in order to utilize it effectively. In other words, things are lost to time. Some questions will never be answered. Do we know that Nero wasn't actually playing the fiddle while Rome burned? Yes. Do we know that Nero was suspected of having a hand in the fire to clear out space for his new palace? Yes. Do we know that he definitely had a hand in it? No (though we're pretty sure he didn't).
Just food for thought.