Actually, I'm of the impression that Rosharians have a worse view of history than their other Cosmere counterparts.
The other worlds have a knowledge of what happened in their easily accessible past that makes sense and fits what we know. In Mistborn, despite TLR, knowledge of the countries and places before his ascension persisted, and they sound perfectly human. The world was apparently perfectly normal (by our standards) before, and most real historians managed to find that out.
In Warbreaker, we have different groups arguing over the causes of events in their recent past due to their various biases, but the broad details are generally agreed upon (very much like the real world, actually). The first returned is an almost mythological person, but he undoubtedly existed. Knowledge of other nations and their achievements was apparently common knowledge among scholars, otherwise Hoid would not have been so free with what he knew (and it may be where he got the info from.)
Elantris also knows what happened up to a point, as far as I can tell. There is very little evidence of Shard-level meddling occurring within human history as we typically understand it. If there was, it was very subtle, rather like Ruin's influence during tLR's reign. Maybe Shard's were related to the Reod, maybe not. My inclination is that they weren't.
These are all rather like the real world. By and large, we know what happened, although we very seldom know exactly why it happened. Very few of the worlds have access to the overarching cosmology, but this overarching cosmology impacts most of the stories only indirectly.
Roshar, on the other hand, is an enigma. It knows about Shademar, it has in many ways more advanced magic than the other worlds, and yet it's history is a ferocious snarl of mythology, what may be misinformation, and the like. It's ecosystem is just plain bizarre, and it seems clear that the effects of the Shards are much more prominent than on the other Shardworlds. Odd. Something is totally up with it.