There is indeed a story that is unraveled as you complete quests. The first nine quests are specific about the country that you chose as your home. Except for M6, they're different. Once you complete M9, you get the rest of your missions in Jeuno.

I'm not sure about where you get the missions that were added in Rise of the Zilart.

I don't really want to say anything about the plot, but there is a main villian throughout the original missions, but I don't know about after you finish the original missions and get into the new ones in Rise of the Zilart.

When Chains of Promathia comes out, there will probably be new missions dealing with the God of the Twilight, Promathia, as an important character.