The person gets into some situation, certainly not perceived as a good one and not necessarily too bad one either, and then finds that most other people don't get into such situations. And he begins to wonder "what do/did others know that I don't/didn't?" or "how come nobody told me this obvious thing before?"
This might relate to the situation when somebody puts a lot of efforts into some occupation only to find that he doesn't succeed because his circle of friends doesn't have enough important contacts that others worked to develop.
Or this might relate to the situation when most of your circle of friends didn't get recruited into the military because their families preemptively found some possibly false though accepted excuses, and you realize that you just didn't know about any of this?
paranoia – implies some degree of obsession which isn't what I ask.
dawn – is the close term, but it doesn't imply that most others know this.
otherworldly – generic term that might apply to that person
naive – another generic term that implies a simplified/straightforward view of the world
I also wouldn't qualify such person as a loser because he supposedly put his best efforts, but the important pieces of information just eluded him for some reason.
There might be some terms in psychoanalysis or psychiatry that describe this, but I don't imply any degree of morbidity.
something that seems to be obvious to most others but not to me and nobody told me
There might be several terms: the feeling, the thing itself, and its realization. It also can be implied unknown what is it? or known how come no-one told me this?.
The thing might also remain perpetually illusive.