I think the PHB had it right. There are some necessary assumptions in the core rules (for example, Barbarians imply the existence savage and primitive humanoids in relatively close proximity to the default, more civilized humanoids; Druids imply the existence of a Druidic society), but by and large these shreds of setting are implied, not explicit. Gods are really the exception, not the rule, and I think that's as it should be. We all have expectations of what a midieval-level village should basically be like, for example, so it's not necessary to provide example villages. Similarly, we all know what a plains, a swamp, a waterfall, et. al. are like. On the other hand, many people have limited exposure to pantheons (even, I would wager, classic Earth pantheons like the Greek, Norse and Egyptian... Most people are ill-read buffoons), and would have a bit more trouble coming up with something like that. Additionally, that's one of the few setting details which are actually vital to some characters, including Clerics.
I think it might have been better, however, to provide a few simple sample pantheons in the DMG, and have the cleric class tell people to either ask their DM for a pantheon or make up a god on their own.