Think of it as the part of Final Fantasy VI where your party splits up and you have to guide all three of them to Narshe to protect the esper, and once you get there, your party all joins together again. It's like that with more "Choose a scenario" branches. The final chapter brings your whole party together and you can use all of your characters.

I've always considered the extra dungeons just to be some optional stuff to do while waiting for more episodes to be released. They're not really necessary, but go ahead and play them if you want.