I’m like totally on par with your list (especially when I see Kenshi, Cradle, and Ice-Pick Lodge games on it) and I definitely stand with @alms suggesting to add Rain World and The Eidolon.
Darkwood was very good in terms of setting, writing and sense of discovery. Coming from me, this means something since I usually stay as far as possible from everything “lovecraftian”. Yet Darkwood is one of my cherished ones.
I found Ghost of a Tale was a surprisingly well-told story with excellent dialogues and deeper lore than I imagined. Grab it if you’re in for something that feels like Don Bluth’s Secret of Nimh, The Game.
Diaries of a Spaceport Janitor is a wonderful piece, one of my all-time favourites. I somehow came to believe it’s a mischievous rereading of Pathologic. Such an ingenious thing.
Seems BELOW is not popular at RPS (curse you, Alice B). Its lore is sparse, the left-to-your-imagination kind, but it’s a wonder in terms of setting, both on the visual and audio sides.
And I’ll add old Exxos/Cryo games like Captain Blood and its 1994 Commander Blood reboot (part 3D CGI, part FMV psychedelic space muppets ; then came its follow-up Big Bug Bang), Dune, or Kult AKA Chamber of the Sci-Fi Mutant Princess. Don’t get this one on Steam, it’s a DOS port. Better visuals, and especially sound if you can lay your hands on an emulation of an Atari ST or Amiga version.
The old Dark Earth (1997) has solid lore. So much that it was quickly turned into a tabletop RPG.
And what about Vangers? With bonus claymation!
EDIT / ADDENDUM:
Dark Grim Mariupolis. A recent point’n’click. The work of a single man. Doric in style, Ionic in content.
As a gaming environment, the strong contrast between the ascetic setting of Haydee and the baroque hypersexualisation of its protagonist had something. It’s like a striking full split. The lore is deliberately thin, yet there was a sense of mystery to unravel all the way through. It’s also a very enjoyable and clever metroidvania.
David Szymanski’s “fantasy short-novel” games, that he made before dedicating himself to DUSK. Especially The Music Machine. Formally, the most distinctive.
Again, by Cryo : Salammbo: Battle for Carthage (2003). An adaptation of Philippe Druillet’s comic book (based on Gustave Flaubert’s novel). Druillet was art director on this one. Gameplay-wise, it’s an Atlantis-like point’n’click with the typical 360° panorama feature. Available on Steam.