Doing so really helps contextualize all of the characters, quests, and events in the game.
If you really want to go deep, though, then the many and various World of Warcraft books are what you want. These highly detailed compendiums tell the entire story of Warcraft from the very beginning of the cosmos all the way up to Shadowlands. They are well worth it if you fancy taking your World of Warcraft knowledge to the next level. Doing so really helps contextualize all of the characters, quests, and events in the game.