Yeah, you have to do some supplementary readings (codex, books) and heavy analysis to understand what's going in Valhalla during this time. The key is that events happen randomly there and those random events are fit into the logic later. Like writing a paper in school. Sometimes you get new ideas while you're writing your paper that you add in later before submitting it. Your teacher doesn't care when you had the idea - they only care about how your essay is structured in the end. That's how it works in Valhalla.

In the chronological series of events in Valhalla:

1. Lightning gets taken to Valhalla
2. Wanders around, recruits Mog, and Odin
3. Arrives at Etro's throneroom and learns about Genesis and the series of events leading to the end of 13 and why she's in Valhalla now through Etro
4. Etro slumbers to heal and makes her into her knight to stop Caius from killing her
5. Fights Caius for an eternity / rescues Noel / appear in dreams / explains Caius's plan to Serah and Noel / rescues them in Valhalla
6. Requiem of the Goddess DLC:

6a. Fights, loses, becomes incapacitated, fights again, wins, gets incapacitated again
6b. 13-2's ending
6c. She wakes up, has a bittersweet moment, and then crystallizes herself, setting up the events for LR

That's how PB do things, sadly, narrative and character development are mixed in all their games, and it started with Gothic. There are some ways around it though, and Risen is a good example, since you can take sword to 7 as a mage and have 2 +sword rings and get to 9, allowing you to wield two-handers one-handed and rip through everything, with magic as backup. Sadly only did so at the end, and should have done it earlier, training that sword first and magic after it.
Also in Gothic 2 you have that sword that requires dex instead of str, for non-warrior characters to have a decent weapon.

(Slight SaGa 2 spoilers, but not the major ones; everything here is before the Final World.)

The mention of Valhalla reminds me of an oversight in SaGa 2 (Final Fantasy Legend 2), specifically the way the encounter of Odin is handled:
* If, at any point in the game before you kill Odin, you lose a battle, your party will wake up in Valhalla. In this cutscene, Odin will offer to revive your party to fight again, provided you agree to fight him later. Saying "No" will return you to the title screen, while saying "Yes" will restart the battle you just lost. (Note that, if you lose another fight later, or lose the same fight again, the cutscene is abbreviated.)
* Eventually, you will reach Valhalla, and near the end of the dungeon, Odin will block the way. If you've died at least once, you will get some dialog that reflects the previous encounter, and the battle with Odin will start.
* If you get to Odin without dying (or you reset/say "No" when you *do* die), however, talking to Odin will start the battle without any dialog, which is rather strange, and is a bit of an oversight. (I think the developers might not have expected any player to actually do this.)

A couple other things to note:
* If you die while fighting Odin, the cutscene will appear, even though you were already fighting him. This gets rather strange in the situation where the Odin fight is the first battle you lose, as Odin is introducing himself to you *after* you've met him, fought him, and lost.
* The remake fixes the lack of dialog; if you have not died, there's new dialog to reflect that situation. (You still have to fight him, however.) I believe it does not change what happens if you die during the fight, however.
* A party wipe after you've defeated Odin will take you straight to the title screen, which makes sense in the game world. Hope you saved recently! (Good thing that, like most SaGa games, this game lets you save anywhere.)