If you had no idea what was going on then, a. you weren't paying attention or, b. you didn't retrieve the intel, echos, or do the side missions before you did the main mission in each zone. The Division isn't perfect, neither is Destiny, but to say that The Division is lacking an immersive story is ludicrous. Maybe grinding out each section before moving on to the main mission in that section isn't your thing, and that's fine. Typically, you aren't going to get the full picture of a story if you're going out of order from random mission to random mission.