Inzil, I've been off coffee for something like eight years so I don't have your excuse.
The original Bond books are an interesting suggestion. They, like conspiracy and detective fiction, play out supposedly in the primary world. Yet some of the best conspiracy fiction, to my mind the George Smiley books by John Le Carre (not his later fiction) are full of tantalizing detail, but also surprisingly silent on some important ones. I wonder if someone with deep personal experience of the Cold War machinations might have a very different response to Le Carre's work.
One issue about clamouring for details of course depends on when one reads the extraneous information. For instance, I don't think people usually read an author's biography or letters before first starting on his or her fiction. So if we go in "blind" on that first read, all we have is the ur-text to guide us. So, what kind of book makes us want to read the secondary sources?
I take things Tolkien says with a grain--or several--of salt, not that I dismiss him. As Fimi points out, he is incorrect about the presence of very Victorian fey creatures in his early work, which he clearly worked to eliminate from later works. And I would suggest that the farther a letter is away from the original writing (or completion of writing), the greater possibility of memory lapses. Authors are tricksome, sometimes with themselves as well as with their readers. After all, Tolkien at one point said that the attraction was seeing something in the distance, but that the closer one got, the less strong the attraction becomes. So he tantalizingly put bit and pieces of his Legendarium into TH and LotR, with the intent of suggesting more and distant events, he didn't want a full explanation. I suppose I should toddle off and find that source.