Some good news. My brother, the one with a doctorate in philosophy, is back in the country, and I had the chance to discuss the idea of unthinkable ideas with him in order to better appreciate how to grasp such concepts. Explained the basic need for such things, and he was able to make the three following suggestions.
That is, pretty much until Jules Verne wrote The Time Machine, nobody even thought about Time Travel. There might have been scattered stories throughout the literature, but nobody took the idea seriously. Now, people routinely accept time travel as an aspect of sci-fi stories without question. This provides an example of an idea which has not been thought of before, and then is assimilated into the collective mind.
That is, suppose we had a map from all concepts onto a scale, and this scale is continuous, so that a small movement in any direction should not produce a major change. However, on this colour wheel, a hole exists, because of the missing concept. Now, objectively, there is a large jump (discontinuity) within this wheel. However, when it is pointed out, either they will see the hole, try to envisige the missing colour, and then try to perform an inverse map back into reality to identify the missing concept. This provides us with a way to identify that something is missing, while still providing the fundamental human incapability of perceiving the concept.
This is probably the most complicated one. I will see how it goes, and make sure you ask if I have not explained it well. Okay, here goes. It is well accepted that humans have 5 senses. The fundamental feature of these senses is that their perception "Feels like" something, and the sensation is different for different senses. Fundamentally, a sense "Feels like" something, if it is not simply the reception of data, but there is more too it than just information. Note that each sense processes different forms of data to produce a sense-like reaction. Sight deals with EM fields, Sound deals with pressure fluctuatings, Smell deals with particulate matter, Taste I don't remember, but possibly also deals with particulate matter, and Touch deals with application of force and surface texture. Now, we may accept that there is another form of data which could be processed, but the ability to sense this data has been lost. This does not need to be a spooky, supernatural, stereotypical form of sixth sense. But rather, it could be data which otherwise goes unnoticed, but perhaps other creatures can detect it. And the existence of creatures which could detect it would be very different, for they have another sense-like experience in which to describe things. This may, for example, explain the fundamental incomprehensibility of unformed fae, for they perceive another form of sensation, and that colours their perception. However, when being formed, they may, for instance, lose the ability to perceive this experience, due to the destruction wrought by She Who Lives Within Her Name, but recall the memory of this sense. Thus, they crave to rip emotions from humans, for that is the closest they can get to recalling the glory they once knew, just as humans may try to overdose on some other sensation to compensate when they lose one of their senses.
Anyway, I have put this stuff down in the hope of it making sense. I have a sense that it is not entirely clear, and may need to clarify, but this is at least a start, and we will see what comes. Personally, options 2 or 3 both provide interesting story potential, especially if we decide to include the celestial colour wheel as part of the game, which the PCs discovery in a long forgotten manse (tm).