The loading screen is a great way to teach important information that people might otherwise miss. Here are a few misunderstood concepts I've run into myself or seen on the forums:
— Crown and heat distribution in parties.
— Reward scaling increases within a tier, then resets for the next one. People would naturally expect depth 9 to be more lucrative than depth 7, for instance.
— I've heard conflicting information on whether or not the number of material drops scales with party size. If it does, that would make a nice tip.

Any other suggestions? What misconceptions and frequently-asked questions do you run across?