So this is a two-pronged problem; Firstly, your players and their lack of initiative and desire for exploration, and Secondly, your choices as a DM for your players.
If your players are upset about the engagement of your story narrative while actively avoiding said narrative, I’m not sure what else they expect. A good way to circumvent situations like these is to prepare for such possibilities. For example, if you put a dead body as a plot hook for your party, have an investigator meet the party beforehand. He can then join/tail the party after asking if they’ll help him investigate a lost person. Regardless of their answer, you can still include him when the situation comes up to give your players more opportunity to invest in the plot hook. For magic items, maybe a mystic or attuner can sense the magic in the item.
It sounds like the problem is that you’re giving the players too much agency. Giving them a little less choice will help not only you hook the players into the plot, but also your players with their perceived lack of narrative. You said you’ve done three other sessions with these players. Did they just drastically change their play style in this campaign or did you change this campaign from the others in some way?
DM’ing is difficult. Aside from story- and world-building, you also have to accommodate for the playstyles of each of your players. This may be a controversial statement, but your world and story can be subpar if you keep your players engaged. The most important job as the DM is to make sure everyone is having fun. That should always take priority.
My face when I critical fail a persuasion check with advantage.