Dungeon World is asking a lot by providing minimal setting and also emphasizing collaborative storytelling. Feels like they should have picked one or the other. There are probably RPG groups in which everyone feels comfortable constructing bits of the world out of whole cloth, but most players are likely more comfortable improvising within a suggestive framework.
Third session tonight, and my paladin player has only just figured out what deity his character serves. That there was no starter pantheon really threw him for a loop — and he's probably the most experienced player in the group. DW provides mechanics for really playing characters *as characters*, but I find myself having to prompt players to invent details with very little established world to work from.