I skipped the first one, Koudelka, due to its impossibility to find and its unnecessity to the series, and went straight to Shadow Hearts. I rather enjoyed it, but the ending I got, even though I worked my ass off to get it, does not match the beginning of the sequel. I had to ask people here to describe the "true ending" to me.

The ending that one has to work to get should be the true ending.

The ending that you get by doing the bare minimum required to get through the game should not.

So, no. I haven't played Covenant or From The New World yet, though I do plan on it. I have so many games I must complete.