No. They don't need to be explored.
Any media with any kind of lore has a crapload of plot threads that never get pulled. From Skyrim, to Destiny, to D&D to Mass Effect - plot details and happenings that could be huge given the context don't always see any kind of exploration. They don't need to. The world has a history, and some funky stuff has happened, but your hero doesn't need to intimately concern himself with every aspect of it.
OK sure not every interesting idea needs to be explored. Imagination is a powerful tool itself and all, right? The problem with that logic here is that the gods are an integral part of the story. You meet and have conversations with 3 of them and see another one without talking to them. Oh and you fuck two of them. You can even give your soul to one of them for "safekeeping". When they're this tied to the plot, I do think something that huge needs to be explored at least a little bit. It could literally change the foundation of the world and how everybody perceives it. It isn't just background info that can be hand-waved away anymore. You can excuse something like Mass Effect's star dying bit because the stars themselves aren't a main part of the plot and what Shepherd goes through. The same cannot be said for the gods in this game.
No, I'm saying the champ doesn't care.
It's not important to the champ. The act of doing so would in fact be actively detrimental to the champ.
Of course the gods care, given two of them ask you not to do it, and of course religious people would care - but to the champ and his mission, it isn't a concern.
Like others have said, that's you putting your views onto a blank slate. My Champ could be a crusader of Velun or whatever and have his entire worldview rocked by this news. The champ can care about more than just stopping Kas because, you guessed it, they're a blank slate.
I'm not being dismissive, I just think it's fine as is.
Anytime Tau_Iota delves into the ramifications of this plot point, you immediately go, "Nope, no proof." Obviously there's no proof, because we just have this tidbit of information to go on. But we can infer from that little bit and maybe figure things out before/if they ever happen. Nobody is saying any of this is fact, they're just strong possibilites given the information. Yet you just fervently deny the possibility of what he's saying because there's no hard proof for it.
That's kind of a textbook case of being dismissive, no?