I agree, and noticed the same thing. That opening scene got me really excited for a game that would dig deep into Comstock's radical American religion. Then... it's gone. When I arrived at Fink's, I thought that maybe we could explore Marxism. Then... nothing. To me, these would have been far more interesting than the multiverse story that we were given.
I still enjoyed the story, just a little disappointed that these interesting and relevant ideas were nothing more than set pieces.