So, firstly, 4e's implied setting--formally called the "World Axis" but also called "Points of Light," "PoLand," "the world of Nentir Vale," or euphemistically "Eustace"--was designed from the ground up to be three things:
1. Playable.
2. Myth-laden.
3. Flexible.
So let's talk about those.
Playable
On second thought, let us not go to Camelot. It is a silly place.
If a location got talked about in 4e lore, it was because it was somewhere you could actually go to, and actually do or learn something while you're there. There is no* "infinite plane of literally endless fire and nothing else," because such empty, featureless places have no impact on player experience. Instead, it has the Elemental Chaos, the plane of the raw, unconstrained forces of material existence, constantly churning and roiling and interacting. Instead of the Positive and Negative Energy Planes, where more or less nothing ever actually happens, you have the Feywild and Shadowfell, "bright" and "dark" reflections of the mortal world. Etc.
Instead of focusing on cosmological symmetry and taxonomic explanations (as the Great Wheel does), the World Axis focused on writing places full of adventure. All the lore, the mythic background, the openness to interpretation, it all served this goal. This is also tied deeply to the intended tone of 4e: a world where darkness has almost won, where the few lingering Points of Light (hence the name) are surrounded in a sea of deepening darkness....but brave heroes may turn the tide, at least for a little while, by striding forth boldly into that gloom. Likewise, the focus of monster and dungeon design was on things that would actually appear in someone's game--perhaps only a few games, whether due to remoteness or high level or being something adventurers usually wouldn't oppose, but still. Prioritize giving stats to things and places that people would actually encounter, not ones that simply exist abstractly in some faraway idealized multiverse.
This affects the lore specifically by expecting that everything be, to some extent, actually grounded in things players can or will experience. The designers, for example, wanted the gods to be active and reasonably powerful, but remote, having to work through agents and proxies rather than openly and personally displaying their power. To meet those goals, they developed the story of the "War of Winter": the TL;DR is, near the end of the near-apocalyptic Dawn War, the gods warred amongst themselves and one faction nearly conquered the mortal plane by shrouding it in an endless, winter night, but the other (mostly good) gods defeated them. As a result of the war, however, the emergent Primal Spirits--essentially, the innate supernatural power of the material world itself, come to life--enacted a Primal Ban, which makes it extremely difficult for deities to directly influence the mortal world. Doing so puts them at huge risk of attack by their enemies.
Instead, deities' churches perform a ritual, called Investiture, which imparts a tiny spark of divine power into a chosen initiate, allowing them to become an agent of their deity (e.g., Cleric, Paladin, Avenger, or Invoker.) Thus, the lore tells a story about why this is a world where the gods really do matter, but aren't directly active in daily life; why the gods meddle in the lives of adventurers (they make excellent proxies!) but rarely show up and actually DO anything personally. Hence, religious elements within the game are eminently playable: they emphasize the place of heroes within the world, while still supporting fun roleplay opportunities and missions both for and against the gods, without allowing the gods to simply auto-win at everything forever, or worse, fall into schoolyard "Oh yeah, well...I put up my infinity-plus-one shield!!!" nonsense.
This focus on playability means that, whenever something is detailed or presented, it is always expected to be practically useful. Highfalutin theory and cosmology have value, but adventurers are here to adventure, not to present a dissertation on the cladistics of pyrological organisms. The lore was always intended to be oozing with potential--to be flint to steel, sparking ideas of awesome adventures to be had, if you just aim for the second star to the right, and sail on to morning. Which leads us to...
Myth-laden
"When we lose our myths, we lose our place in the universe." -- Madeline L'Engle
Something that often plagues efforts to create an interesting, vibrant setting is a lack of archetypal things to grasp hold of. Above, I mentioned the emphasis on systematization in the Great Wheel. It gets around this by, honestly, just stealing everything from actual Earth cultures: all the outer planes are various mythological places or concepts in Earth religions (noting that Mechanus was originally "Nirvana," despite having almost no resemblance to the IRL concept), the inner planes are just the classical four elements, etc. But in taking everything and the kitchen sink, it can be hard for other things to squeeze in--either they accept the unrelenting hegemony of the Great Wheel, or they try to be unique and thus not use most of the tropes and IRL mythology that make a setting resonate.
4e addresses this by going back to the myths themselves, and rather than simply copying them, rebuilding them in its own way. For example, the deity Erathis struck some people as a strange new development, a rather fleshed-out god** of law and invention and (to a certain extent) warfare, and likewise The Raven Queen was a rather fleshed-out god of death, fate, and winter. But Erathis is almost directly inspired by Athena from Greek myth--an Athena re-built for a different context. The Raven Queen is Hel re-imagined (and Kord, although lifted from Greyhawk, is also pretty clearly Thor re-imagined.) Avandra is Tyche, the Greek goddess of luck, and Melora is rather like a fusion of Poseidon and Demeter (or possibly Cybele, given her association with animals in addition to plants.)
The Dawn War, the centerpiece of the mythic background for the Points of Light setting, is a clear conflict in the style of the Titanomachy or Ragnarok, with the gods themselves at war and strange alliances resulting from their need to band together in order to survive. The consequences of this conflict scar the universe even into the present day (as sort of mentioned above, with the Primal Ban thing.) Gods are both slain and born as a result of the Dawn War. For example, Io was the original singular dragon god, but he was slain in single combat with Erek-Hus, the King of Terror, who clove Io in twain with a single strike of his mountain-sized adamantine axe. But no sooner had Io fallen than two new deities sprang up from his divided corpse: Bahamut and Tiamat. For the first and only time in their lives, they cooperated to annihilate the one who had killed their "father," and then fell into bitter enmity forever after.
But the myth-making does not stop at the impossibly ancient past. There are also wonderful, evocative stories like the tragic wars between the tiefling nation of Bael-Turath and the dragonborn nation of Arkhosia; the now-fallen eladrin empire, that once ruled from glittering cities in the Feywild, reduced to only a handful of their greatest bastions like Cendriane and Mithrendain; the most recent social power, the Empire of Nerath, that has partially collapsed and may not recover. These things fill the world with the weight of history, but it is much like actual history: partial, fragmentary, oft-forgotten, misinterpreted, reinvented. An ancient dungeon you delve into might not just be a random ruin, it might be the remnant of an ancient castle, repeatedly claimed by both Arkhosia and Bael Turath, too dangerous for looters to enter because the spirits of the unquiet dead continue their war despite their civilizations being long gone--and the treasures inside are not simply bland things, they're Arkhosian drake-cavalry officer swords and ancient Turathi grimoires. But this spottiness serves a second purpose, making the lore...
Flexible
That which yeilds is not always weak.
You will not find a gazetteer for the world of Nerath. There is no central clearing house, no hard and fast timeline, no neat and tidy accounting of when and where and how. This is, to an extent, by design. The people who made 4e did not want to have an unyielding core that everyone had to follow or else they wouldn't be doing it "right." Instead, they wanted to invert the usual relationship between the "official" lore of a game and the at-the-table lore employed by each DM.
That is, traditionally, a setting is provided from on high. Ed Greenwood is the expert on the Forgotten Realms. Gary Gygax was the expert on Greyhawk. Keith Baker is the expert on Eberron. These things are authored, and that author carries authority. Sure, you can tweak if you like, but fans are gonna expect things to remain pretty close to the information everyone can access by reading the book. If you say you want to run an Eberron game, and your players find out that you're actually running a game set before the Last War even started, there may be some complaints. If you further add that the gods are now 100% real and highly interventionist, people are probably going to get upset. Etc.
The Points of Light setting isn't meant to work that way. It's meant to be more like a collection of cool things you can add to, or combine with, the game you're already running. It's less a precisely-fleshed-out world, and more a network of things you can pick and choose from. Instead of there being a single, central canon that must be adhered to, there are many loosely-linked elements. The DM's table lore is what matters, but folks who love Arkhosia or the Dawn War or various other things can quite easily slot them into what they're doing. Nentir Vale and Elsir Vale (two of the most fleshed-out locations) can very easily be slotted in as places just beyond the horizon, wherever you happen to be in your world.
This flexibility extends to the classes and their implementations as well. Gone are the days of Paladins and Clerics who can have their power yoinked away simply because their divine sugar daddy/momma didn't feel like sharing today. Gone are the notions that secondary sources are less rigorously tested or more wonky to use: in 4e, "everything is core," meaning, PHB1, 2, and 3 are all pretty much balanced with one another. Obviously, some variation remains and some combinations percolate to the top, that's just a fact of life, but by and large, if you want to play a thing, it isn't going to unbalance the game (indeed, it's much more likely that oddball choices will be not quite as good!) But there's also no reason the DM cannot limit what is available in their world, as WotC itself did just that with the Dark Sun Campaign Setting, with Divine classes forbidden and Arcane classes tweaked.
* Technically, this is an exaggeration. It is valid to have nigh-infinite sections of the Elemental Chaos that are just pure fire or whatever. But because "just endless pure fire and literally nothing else" isn't interesting, the books don't spend any time talking about that stuff, and instead focusing on stuff that is about the power of fire, like the City of Brass, but not the Elemental Plane of Fire.
** The 4e books consciously call every deity a "god," as the authors consider "goddess" unnecessary and somewhat sexist. So Erathis is the god of law, invention, and civilization.
