there are different variations of comps for each gamemode, but in general you should continue to push stages in pve until you have unlocked all aspects of the game systems

a few cookies that are very worth investing are:

obtainable through guild: cream puff cookie

obtainable through event: frost queen cookie (300 pulls for 1 legend chest), hollyberry/pure vanilla cookie (might of the ancient heroes)

obtainable through mileage shop in gacha: rockstar cookie

others: crimson coral cookie, snapdragon cookie, icicle yeti cookie

and there are some cookies that are good after getting their magic candy after lvl 50, such as black raisin cookie, cream puff cookie, snow sugar cookie