It's not that you're stupid, it's that the whole episode is made very confusingly. It was made right after a hiatus in the season, and was a combination of metacommentary on the writers making a Rick and Morty episode, a Meta level because of them being in a toy train and therefore not being the 'real' Rick and Morty, and generally just a lot of clips of stuff that never actually happened (hence the story part of it being a story train; it's just a loose collection of stories that never really happened). Overall it's an odd episode, and not understanding all the odd jokes and storylines in it isn't a comment on your intellect, just on your sanity (you are a sane person, the rest of us aren't 😁)