Socrates introduced mystery to his students to push them to want to find things out. If you don't feel this sense of mystery, you won't try to find anything out. Then the question arose of the Theory of Everything. Mystery is said to be the beginning of all intellectual thought including philosophy and science. But if you knew everything, there'd be nothing to do.
Mystery is also fundamental to religious life.
It could be considered another way of knowing besides scientific observation. But as said before, science and religion is moving and changing, and a new scientific cosmology incorporating mystery may also be a new Creation Myth. We were then introduced to the important concept of Hermeneutics or Interpretive Understanding. The word is of Greek origin and basically is the principle of interpretation. Christianity was never understood in black and white.