The story of the Gears universe is actually very intriguing; it just didn't come out in the game. I admit, I wanted answers to things like "What is Sera?" "Where is Earth?" "What, exactly, are the Locust?"

I disagree with you, however, on the point you made about it being bad that you felt like you never knew what you were doing. Do you think as a soldier in a real war you would always know the full picture of what you're doing? Or would you just hunker down, fight for your live, and take each hill at a time? Gears gave me enough information to make me feel immersed in the world: I knew I had been busted out of prison because the war was going badly, that I had one chance to save humanity, and that that chance lay in planting the resonator and taking out as many bad guys along the way. Imagine if you had to stop after every battle and philosophize about what just went down; not exactly engaging gameplay, and not all what an action game is supposed to deliver on. Save that for the RPGs.

"The creatures were friendly and could see in four dimensions. They pitied the Earthlings for being able to see only three." -Slaughterhouse-5