Really? I can think of about 10 examples of times where the actual facts are clouded by some nebulous mystery. In fact, I'll list some lingering mysteries. Spoilers obviously.
What the heck is up with the Lobster?
Why did Mr. Boy kill Satan, and why can't he remember? Also, who was that glowy white ghost thing?
Was Frankenstein killed when Liz immolated the Hollow Earth?
Is Daimio inside the Wendigo now, or is it still Daryl?
What happened with Hellboy in Africa?
Abe. I mean, just everything about everything to with Abe for years and years until, like, now, and even then, what?
Howards. Gall Dennar.
What is that right hand even for? The message is pretty mixed.
Was the Black Flame Pope?
How did Kroenen and Kurtz survive? Is Zinco still out there somewhere, wandering about all blind and crazy?
The aliens, right? I mean, they're still out there somewhere, and they must be pretty cheesed off about one of the Ogdru Jahad getting loose.
Hellboy and the BPRD is all questions, and the Lovecraftian slant to the stories means that some of this stuff should be unknown and unknowable. Mignola and co are pretty good at drip feeding us the answers to these mysteries, and with the power of the Ogdru Jahad that is loose appearing to be pretty critical to the ongoing story, and with O'Donnell being very deliberately unconscious through much of this arc, I'd imagine any pertinent answers will be coming our way as and when they're needed.