Elena, 'Letting someone in on something', means sharing a secret, or some kind of otherwise private information. For example, 'I'm going to let you in on a little secret'.

Prepositions work in mysterious ways =) In this particular case, if you want to make sense of it, I think it has something in common with phrases like "a lecture on modern poetry" or "to stay on topic", where "on" is used with themes, topics and the like.

quite interesting sentence