Here is a basic interpretive principle that I think is generally agreed upon in literary scholarship: if Text A makes a reference to Text B, then you can use Text B to gain a better, fuller understanding of Text A. You do have to use your judgment to figure out which elements of Text B are relevant, but it’s just good interpretive practice – not “headcanon” or “fanfiction” – to use Text B as a lens through which to view Text A.

If you know something about Norse mythology and/or the Thor comics, you will have a better understanding of the MCU Thor films. You can understand them on one level if you don’t have the background of the texts they reference, but your understanding will be shallower (or, as my advisor prefers, narrower). You can understand the first Thor film on one level without knowing anything about Shakespeare, but you won’t appreciate all of its complexity.

People who insist that the only things relevant to the interpretation of the films are the films themselves, and you’re supposed to ignore all the other texts in the background*, might be extreme modernist formalists obsessed with the purity of the text (or maybe with the Protestant/democratic principle that any schmuck can read a text just as well as someone with a broad literary education). But it’s far more likely that they’re just bad readers.

* Except the internet commentariat’s version of Maori culture, apparently. That’s relevant; Norse mythology isn’t.