To be fair, you're really talking about non-Arduino (capital-A) parts from a multitude of suppliers. And yes, the documentation varies in its depth, quality of translation if it wasn't originally written in English, and even availability at all. Taking the part you linked (from a retailer that storefronts for sellers (sometimes not in this country), who sell from component builders (often not in this country, who build with of parts from supplied factories definitely not in this country, ..., you get the idea. There may or may not exist any documentation specifically for this LCD/keypad combination shield.
But just by reading Amazon's seller's part description, I found that it consists of (at least) a 1602 LCD module and an HD44780 LCD controller chip, for both of which I can quickly find and download datasheets. The sixth image to the left of the description is a schematic of the board which shows that the left, right, up, down, and select buttons are 'multiplexed onto an output called AD0. I might have confirm that that is - or isn't - the Arduino's Analog-0 pin, but in any case, now I know what I have to write to decode which button was pressed from the board's analog output.
All this, and the part costs under US$7.00. For that price (and an assumption that these shields aren't being made in huge quantities), a maker couldn't possibly be able to create a custom datasheet for the shield as a whole, but they did supply a schematic, and their board's components are identified, and those components do, in fact have datasheets online.
Slightly awkward, perhaps, especially if one is thinking in terms of parts like MCUs such as the Atmega328 family, that are made in huge enough quantities that its datasheet runs to nearly 700 pages of engineering-ese. Still, the information is there and accessible, without requiring a way lot of digging.
That's part of being an experimenter.