I don't think I've ever, out of all my physics classes up to grad seminars, been given the impression we have everything figured out. In fact, it was hammered into us that all we have are "effective" theories, at least when it comes to high energy physics, and that's not even talking about grand unification (electroweak + strong force unification), let alone Theory of Everything (electroweak + strong + gravity).
Maybe not where you studied, or at the level you studied, but in upper division undergrad physics at a top tier California school I definitely was given the impression that I should just crunch the numbers and not think too much about how it might be working.
Was this a quantum mechanics class? Thinking about how it might be working leads to strange things like the Many-Worlds Theory[1] and other very weird ideas. "Shut up and calculate" is the usual method of dealing with these deeper questions.
