What is the name of that feeling when one discovers that there is something "most others know that I didn't know"?

Solution 1:

The word that comes to mind for me is clueless. It's similar to naive but instead of the person showing lack of judgement, they are just "having no knowledge, understanding, or ability".

"...the important pieces of information just eluded him for some reason." I think clueless would fit in this regard. Clueless does not necessarily imply stupidity or naivety, but does show that some knowledge eluded him.

Another feeling one might feel when coming to the realization that others know something he does not is insignificant. They might feel like an outsider or excluded from whatever knowledge everyone around him possesses.

Solution 2:

He suddenly came to the realization that the crappy dance instructor was a local legend, yet people only criticized him in hushed conversations - and no one bothered to warn newcomers about him.

In such a situation, you might also feel somewhat betrayed.