There's a good reason the story of the magi's unexpected visit to Bethlehem is told only in Matthew's gospel. He's the one evangelist who writes for Jewish Christians, the one evangelist whose community had problems with non-Jews becoming Christians.
Though there were three basic changes in the first 100 years of Christianity, the one which created the most practical problems for followers of Jesus revolved around the Gentile/Jew question. Is it essential for imitators of Jesus to be Jewish? Or can non-Jews also become other Christs?
Paul of Tarsus had concluded at least 20 years before Matthew wrote that since we follow the risen Jesus, not the historical Jesus, Gentiles and Jews are on the same level when it comes to Christian faith. He clearly stated in Galatians 3 that the risen Christ isn't a slave or free person, Jew or Gentile, male or female. Once risen from the dead, Jesus is, in Paul's words, a "new creation."
Yet it's clear that Matthew's Jewish Christian community still had reservations about Gentiles entering the church without first converting to Judaism. Unlike themselves, these "Johnnies-come-lately" weren't obligated to keep the 613 Laws of Moses; regulations to which not only they, but also the historical Jesus adhered.
His community's hesitation in welcoming Gentiles as full-fledged imitators of Jesus seems to be one of the reasons Matthew includes the visit of the magi in his Infancy Narrative. We not only hear about non-Jews discovering and worshiping Jesus, but they're non-Jews engaged in an occupation totally forbidden in the Hebrew Scriptures: astrology. Those who "followed stars" were subject to the death penalty.
The evangelist can't help but remind his original Jewish readers that Herod's Jewish Scripture experts knew exactly where the Messiah was to be born, but he and they were obviously too busy to travel the few miles to Bethlehem and venerate him. Sinful Gentiles did what many law-abiding Jews refused to do.
Matthew was simply joining with the Pauline disciple responsible for Ephesians and asking his church to also rejoice that God had "... revealed to his holy apostles and prophets by the Spirit that the Gentiles are coheirs, members of the same body, and copartners in the promise in Christ Jesus through the gospel." Both sacred authors presume God's revelation isn't something static: given in its entirety once upon a time, never changing, never evolving. As the Ephesians author puts it, "(This mystery) was not made known to people in other generations." There's always deeper dimensions of God's revelation for us to discover.
Five hundred years before Jesus' birth, Third-Isaiah is also convinced of the evolutionary process of God's revelation. Like his prophetic predecessors, he constantly tries to take his people beyond their comfort zone. Long before Paul's mind-expanding insights about the implications of the risen Jesus' new personality, this post-exilic prophet also looks forward to a day when Gentiles will benefit from the faith of Jews. "Nations (Gentiles) shall walk by your light, and kings by your shining radiance." He's certain the faith of his people will eventually affect the faith of all people.
One last point: the gold and incense the magi give to the child make sense when you're dealing with royalty. On the other hand, myrrh is normally used to anoint dead bodies. Even at Jesus' birth, Matthew insists on bringing up his death; a death all his followers are expected to imitate. One way in which we certainly die with him is constantly to see and accept the new in God's revelation, especially at the point in which we've just become comfortable with the old in that revelation.