But we do. Check out the research into how our visual system works, or how spatial orientation works in mice. There's been quite a lot of puzzle pieces identified over the last decades. For some of those, we have good theoretical models that can make testable predictions.
We're far from having all the puzzle pieces, and even further from fitting them together. But what we already have and the progress that's happening are both reassuring.
I don't agree.
We have some very interesting ad-hoc empirical observations, but no theory.
We're not even in "alchemy" territory here yet, we're still in the "randomly mix colored rocks and see what comes about" phase, to use an analogy from how chemistry developed.
We're far from having all the puzzle pieces, and even further from fitting them together. But what we already have and the progress that's happening are both reassuring.