I could spend all day with this...
The biggest ones for me are character "deaths" and the nature of the afterlife, simply because it leaves an open-ended sense to...basically every major character death. We know there is an afterlife. We know there's more than one type of afterlife. We know that a soul can be -- if not resurrected -- then at least "brought back" in one form or another.
We also "know" that all of the above could be false, or at least highly obfuscated. If this turns out to have a narrative pay off down the road, that's fine -- it makes sense to leave those threads slack until the ending of the series, given the subject matter and nature of the worldbuilding and story. But if the series ends without some hard-ish answers on those things, it'd be a tough pill for me to swallow barring some serious literary gymnastics.
Most other things (most, not at all) are less of an issue, and I do think that this series will never have a clear cut "hey here's how everything works" type of scene. The fact that the question of "what is real and/or true" is a rather prominent theme in the stories makes this okay on paper, but it definitely requires a certain handling of the narrative and characters which, as of yet, has not appeared IMO.
