We don't learn who Freddy is because there have been a number of films in which we see the characters learning about Freddy Krueger. We believe the audience don't need another film in which people learn about where he came from and why he is haunting their dreams and killing them. We pick the story up when this is known by the characters and concentrates more on them trying to survive him. Why? Because this keeps it more interesting for you without needing to cover ground which has already been covered multiple times. Don't worry though, you still get Freddy!