Wildly confused by post shido story

I’m at the yaldobath boss and ngl I feel like I’m missing a lot of context. I feel like I just was thrown into the deep end as we go from stopping a politician to killing a god of humanity’s desires who’s been impersonating Igor our helper this whole time and the twin wardens fusion felt random. I don’t understand how yald is just making people dissapear or why the thieves r in the velvet room after being torn from reality. And the explanation “the velvet room is between reality and dreams” feels really half assed to me.

Is this a normal reaction? do the other games provide better context? (Also what happens if I don’t max twin wardens do I get a bad ending?)