Wildemount (and the Tal'Dorei setting before it, the continent west of Wildemount, which was released a couple of years ago) are both extremely interesting and accessible to new players. I'd put PF's Golarion in the same boat, and even Kobold Press's Midgard. The lore and history aren't as dense as FR.
Heck, if I hadn't made my own campaign setting for the three games I am currently running I'd have ported Golarion into 5e and just adjusted a few things.
EDIT: Also interesting to note, regarding the pantheon in Exandria, is that Critical Role started as a Pathfinder game. When they switched to 5e for the show and it became popular, Pike worshipped Sarenrae. With the two CR source books now they've just changed Sarenrae's name (as well as the other gods.) So it's been fun to watch them go source-wise from PF then to D&D, which then allowed them to add in powers like the Raven Queen.