How can people be so 'disappointed' by what seemed to be a very introductory first level? Nothing ever happens in the first level of any game these days. GOW3 started off with a huge bang because that's where the story from GOW2 left off.
They now have time to introduce a completely new world, new story, new characters (I consider this new, anger managed, Kratos a 'new character', as he has a totally different personality here), new combat dynamics. And they're clearly going in for the emotional connection as they've seen how successful that's been on other Sony games - the kid will OF COURSE die and Kratos will surely go crazy again, or at least that's my initial opinion.
They can hardly have a set up by throwing you in a huge action set piece, can they? And if they did, people would still complain that there was no set up, no context...