If you follow certain paths into the 'endgame' of Fallen London or Sunless Sea and start uncovering some of the deeper secrets (The Judgements, the Stone Pigs, the nature of the Bazaar and its Masters, Mr Eaten, the Liberation of Night, the Dawn Machine, Salt, the Traitor Empress etc etc) then the High Wilderness seems like the next logical step to be honest. To risk skirting spoiler territory, many events and the reasoning for things being a certain way is due to the acts of celestial/cosmic beings. It seems only natural that the story would eventually feature them more heavily.
The following spoilers don't cover everything about their subject, but would be considered major spoilers. Maybe don't read them.
The Judgements are the stars. They're also the closest thing to gods and they define the Laws of nature/physics/the universe. Things are weird in the Neath mainly because their light can't reach down there. For example the Judgements will that humans eventually die, which is why sunlight becomes hazardous to those who have spent long enough in the Neath that they should have died. The Dawn Machine was the Admiralties' attempt at creating an artificial Judgement, arguably successfully, although it's weak in Sunless Sea and hates, well, everything. I could definitely see either the Dawn Machine or their next attempt giving them the ability to reach the High Wilderness.
The Bazaar is some kind of cosmic being, a messenger/envoy of the Judgements. It fell in love with our sun and was forced to hide in the Neath to escape the Judgements wrath. While there it seeks to collect seven cities worth of love stories in a probably futile attempt to persuade them.
It's also worth pointing out (if only for those only slightly familiar with the lore) that the High Wilderness is space in the same way that the Neath is an underground sea. It''s technically true, but it's missing the point of the thing
As for how they handled EA, they "Did It Right." But it took most of EA before SS wasn't bogged down by a crappy combat system and a flawed resource economy. Which was the whole meat of the game. If I hadn't touched SS until it released I'd have few complaints....but I put 80 hours into SS in EA and was thoroughly burnt out by the time it was released. Failbetter games are best played once.
I've played through SS twice now and will likely do so at least once more, I'm a sucker for following different paths through stories. If you're not comfortable playing a flawed game (or waiting until it isn't flawed) then Early Access is probably a bad idea for you in general IMO. Nobody made you put 80 hours into a WIP game you weren't enjoying. "It was crap and got better" is about the highest praise I could give to an EA game, it shows they were smart enough to take on feedback and rework fundamental systems to improve their game. As much as it's nice on the rare occasion a game crops up on EA in brilliant shape and almost finished, I can't help but wonder why they didn't just go straight to full release.