I've tried watching recaps of the KH storyline, and I've played 1+2, but I also just find my mind wandering the second the density of events and character superimposition becomes too stupid to sort out and it's then when I realize the most important thing: KH, like a lot of the Disney stuff it incorporates, follows its own set of rules, and they aren't necessarily supposed to make sense or be reducible in complexity. In other words, just like there is weird shit that allows princesses to wake up upon a kiss from so-and-so, so to then will the penetration of a key in a heart create nobodies and darkness ... things. And it doesn't make sense, and it doesn't need to, because when you actually play KH3 you'll be able to enjoy yourself in the moment and stop worrying about the why and the how.
I'm sure all KH fans now think I'm stupid and just don't "get" the storyline, and that's maybe true, but I guess my main point would be: just play the game. In the moment, just as with KH1 and 2 (which again are the only ones I've played) you really don't question the weirdness or nonsense in the moment. In the moment it's just the earnestness of the story and characters that drives you, and, really, that's the best thing about these games.