Honestly, I don't get the people that claimed to be lost. They must not be very attentive. The narrative is pretty straight forward. Yeah, it jumps between dreams, and you may be a little confused at the beginning while the rules of this world are being fleshed out. However, if you pay attention, you should have no problem. They explain everything they are doing.
It was only the end where I started to have some trouble following the story. With four different dreams going on at once it was hard to keep track of who was supposed to be doing what, and of course the whole alpine sequence was just a confusing jumble of people in white shooting at each other. Most of the time I couldn't figure out who was fighting whom in that battle.