It doesn't exempt you from normal considerations about dialog and characterization.
Well, not entirely. We readers are willing to cut you a little slack as part of the convention of story-telling, having people tell us in a more organized and honest manner than in real life. Unless the story is about piecing together what happened from the unreliable accounts of other characters, we want the info slipped in gracefully so we can get to what the story is about.
Still, there are limits. When a character is explaining the history of something to the hero, it helps if the explainer is wise, benevolent, and personally acquainted with the hero, with reason to think well of him -- the last to keep the hero from pondering the question, "But why are you telling me this?" Captured thieves, OTOH, have every reason to lie and deceive -- or, at least, every motive to. (Like this. Top panels, center and right.)
Even wise and benevolent characters have limited time and no doubt will not waste it (being wise) unless they see some purpose to using their time so. Other characters also need motives. Wanting to save the world is less useful than arguing with the hero, showing off, and complaining, which also give you a chance to characterize and juxtapose the difference of the characters. Of course, a motive for one piece of information is not the motive for another; if for some reason the thief told the hero of the thieves' guild, he would not have reasons to recount legends of its founding. (Necessarily. If he did it to intimidate, the legends might help, if adequately intimidating. Then, at that point, the thief's probably exceeded the slack granted fictional characters who are moving the story along. Yes, I've read books where believing the thief is necessary, but it's not a strong point in them.)
Plus, of course, the question of how the character knows what he says. Arcane means are one thing, but many a fantasy character is capable of reciting vast stretches of history without ever having graced a schoolroom. Oral history is far less accurate than many people think; even cultures with specially trained bards and the like don't preserve history accurately for as long as two centuries. And what characters can only know through gossip can hardly be reliable, of course -- except when a writer is using it for info-dumping.