Those other two comment aside, I get what you mean. I felt like that too, but after I finished I watched a mini-doc on how they went about fleshing it out as game mechanics and writing in a "random" game, it made more sense. Interesting system of design choices though, if you watch it someday.

Also without spoiling things too much particulars, there is some narrative interactions with the added difficulty options. Idk if it is available in the first few subsequent runs, but try the added boss mechanics one.

Without trying to spoil things, the story will flesh itself out more over following runs and eventually have a real conclusion, albeit slowly. When you die or succeed and then reset, make sure to talk to everyone includes Hades, or snoop around. And there will be more story in each ending.