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I'm reading THE GOLDEN COMPASS by Phillip Pullman. Lyra, John Faa, Farder Coram, and just about everyone else wonders what the Gobblers are doing with the children they've been stealing, but they never ask the alethiometer. Why is that?

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This is quite early in the story. Lyra has not long had the alethiometer and is still trying to work out how to use it. Remember that it came to her with no instructions on its use.

From a storytelling point of view, it is convenient for her not to know yet what the Gobblers are up to. However, it makes sense in-universe that her inexperience means she can't yet formulate that sort of query or understand the answer. It may not yet occur to her that such a question can be asked.

There are a number of points in the books where Lyra is described as sitting studying the alethiometer, trying to make sense of it. All this is learning.
As you read further, particularly in the second book The Subtle Knife Lyra's ability to ask and understand the alethiometer grows.

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