But when they went back to Persia, the Magi returned to worshipping fire as the manifestation of their great god Ahura-Mazda, reading his gospel as transcribed by his prophet, Zoroaster (Zarathrustra).......
They had knowledge of his coming because they knew from the writings of Daniel that a king was to be born. While Daniel was in Persia he taught there. You really ae hung up with the messengers aren't you. The fact remains they brought GOLD, IMHO a lot of it.