I don't think there is a "wrong track." If it works for you and your group, I say go for it.
That said, you already have some pretty great tools to keep this going. The biggest one is the MC principle of ask provocative questions and build on the answers. It is absolutely true that a lot of this happens in the first session, where the players are figuring out their relationships to the world and to each other.
But it shouldn't stop there. This is something the MC should be doing pretty much all the time. When you introduce a new NPC, give the players the explicit opportunity to shape things. So let's say Hodge, a scrawny albino dude who approaches the PCs in the hold's bustling market. Just those few details (name, build, complexion, location) serve to create the framework from which the players will expand things when you then ask "Keeler, what does Hodge want?" or "Damson, how do you know Hodge?" or "Amber, what was your last interaction with Hodge like?" or "Burroughs, for whom does Hodge work and what service does he provide for them?" You'll probably find that the answers lead to a few more questions, and in very short order you've built up a new situation out of whole cloth, allowing everyone's creative juices to flow freely.
Hodge is still your NPC. You "created" him by naming him and putting him in the players' path. But they have had an opportunity to put their own bloody fingerprints on him, to link him to their characters in ways that interest them, to explain what their characters know about him.
Similarly, every time you come to a new area within the setting, ask questions. Every time a question of how some aspect of the world or the society within it works, solicit input from the players. Make your questions open-ended but still direct and simple: So "What does Hodge want" as opposed to "What can you tell me about Hodge?" The first will focus the player on Hodge's potential motivations, the second might be too nebulous to be of immediate use.
If you do this regularly, I think it will go a long way toward keeping that feeling of collaborative world building going.