You almost mentioned Inflation (the cosmic kind) which also derives from the equations of General Relativity. This work, by the physicist Alan Guth, gives a satisfying explanation of the CMB and also why the Universe appears to be flat.
This is a delightful and accessible discussion by Alan Guth himself. Enjoy!
PS: As far as Prof. Penrose's idea goes, there's an old joke, "Elephants all the way down."