"These mental side quests lead to brand new imaginative pathways through the world being created..."
I think this can (mostly) be summarized/boiled down to: "show, don't tell". And when you "tell", it can be between the lines of dialogue between characters, rarely straight up expo dumps, and let the readers connect the dots. I think you strike a great balance of this in Ennead, and I recently read Image's Black Cloak #1 which I'd hold up as a primo example as well. Check that one out when you can, it's a fantasy/modern world hybrid that somehow sets up an insane number of ideas without ever directly explaining any of them. And yet by the end of the issue, the foundations of the world are very, very clear.