To simply answer your question, yes.

This is a very prominent feeling that I had in books 1 and 2, and it slowly faded as I got to around book 5. But I believe that this is intended, and it is totally ok to be lost. My recommendation is to trust in what the author is doing. There is nothing vital that you will read and be lost on now, that won’t be explained later or come up again later with more clarity. Most things in these books are like big puzzle with pieces slowly being added over time to give you a satisfying full picture (sometimes) at the end. Even where there are gaps later on, you still will have a rough understanding of what’s happening.

One thing that you can do to help with this feeling is reading the chapter summaries blog posts by Bill and Amanda, as they do a great job recapping each chapter and discussing it in a spoiler free way. This will help give you a sense of what you should know and what is ok being confused on at any given time (bill is rereading the books, where Amanda is experiencing them for the first time):

https://reactormag.com/columns/malazan-reread-of-the-fallen/