Well its different in that people have theories that explain what happens and then try to work towards proving or disproving them. Its a natural part of learning more in that you start to learn how little you really know. I'm not sure what your alternative is though - seems to be to learn nothing at all about it
Yes they are all very speculative and and because of how advanced it is its also become increasingly difficult to prove things one way or another. It also means researchers have to kind of accept an unproven theory before they can work out how things would work if it were correct, and therefore prove or disprove it. But think how far all this has come in the last 100 years. I often have a moan about the way some theories are so widely accepted without anything to support them. But they call these things "black" because they don't radiate EM. What do you expect them to do - call them "unknown phenomena A" ?