(Mostly pertaining the Starsector. Dredmor was so bonkers that I think everyone understood that any "lore" would be some kind of stupid joke.)
Most of them are about minutiae that, if answered, might constrict the possibilities of the world. (Or would, if I answered any of them anymore, which I generally don't; and were I to want to be consistent with whatever the answer I made up on the spot was going to be.)
Saying "I didn't think about it" or "I don't have an answer" also gives the wrong impression - as if it was thoughtless. But the mind sorta wanders through points of interest, speculating briefly on everything that might touch it, but not deciding that there's some kind of canonical answer. It's more like a cloud of possibilities, of notions that might get taken up, or might not.
TBH everything is better if most of these questions go unanswered. It leaves room for me, or someone else, to have some fun in the unknown space between canonical experiences. There's magic in the unknowns, and not knowing if the author decided on something or not. (Besides, if it was really important, it'd have been said. And sometimes its really important not to! Some of China Mieville's stories, once you notice it, are written very consciously about what they do and don't tell you about what eg. their protagonists look like.)
As a player of games, a viewer of media, what I find I love most now are evocative impressions that suggest and imply a world; and you can imagine how that world is filled out because of consistent expression of themes. -- Versus, I dunno, iterating references and connections that make the world smaller, and more like a managed IP that has a wiki? (I think here of worldbuilding via storytelling in Andor vs. Mando, though we're drifting into some very different topics.)
-- What I am interested in talking about is process questions, like about inspirations, how something became developed as an idea, what my feelings are on themes, and so on.