I had a similar response-- I got less invested in the world with each book. I think a big problem for me was that the world may be dense, but we only get to see such a tiny slice of it. The exposition is pretty much limited to things of immediate importance or interest to the POV characters, and the the POV characters are all either self-centered or really preoccupied or both.

This may be the one fantasy book series that actually would have been better at doorstop length.