No, there are a great many things we don't understand and some that we will never understand. God wants us to learn about Him. He has revealed Himself in the Bible and in the person of Jesus Christ. "But if from there you seek the LORD your God, you will find him if you look for him with all your heart and with all your soul". Deuteronomy 4:9 "My son, if you receive my words and treasure up my commandments with you, making your ear attentive to wisdom and inclining your heart to understanding; yes, if you call out for insight and raise your voice for understanding, if you seek it like silver and search for it as for hidden treasures, then you will understand the fear of the Lord and find the knowledge of God...."Proverbs 2:1-11
James 1:5-If any of you lack wisdom, let him ask of God, that giveth to all men liberally, and upbraideth not; and it shall be given him. Matthew 21:22-And all things, whatsoever ye shall ask in prayer, believing, ye shall receive.
The bible even encourages us to ask! Asking is not a sin, by all means, ask ask ask! There is nothing wrong with having questions or doubts about things. If we don't ask about these things however, we remain in darkness and ignorance. No one can enlighten their understanding about something without asking.