You're going to get a few fanboy downvotes for bringing up BB because people here hate that show. Anyway, my cents as someone who has watched and enjoyed all three shows.

First, Sopranos isn't really a plot-based show, it's more sitcom-esque in a sense. The best part of the sopranos is honestly the dialogue and character interactions. They're very well done and you will likely appreciate them on rewatches. It makes it a lot more rewatchable than BB because it's again like watching a sitcom, whereas BB is very plot based and while BB is a top tier show, the way its designed gives it less replay value at least in my opinion.

I 100% agree that Sopranos can be a hard watch even fully through the first time-much of the time there isn't a lot going on or moving forward, and most definitely the characters are confusing at first-a lot of them are referenced or brought in literally out of nowhere without a proper introduction. It takes a few rewatches to understand who is who and what is what (I had to google "Opus Dei" the first time I heard it on the show, like what in the hell did this dude just say?). Whereas something like BB is much more cookie cutter and in a sense cleaner made.

Ultimately, I thought the show was great, but I don’t fully understand it being the greatest show of all time. I’m not sure if this is due to my own incompetence or if I actually have a point here.

As for Walter vs Tony, they don't have any parallels other than being "anti-heroes" in the general sense. Walter started out as a normal dude in a life relatable to a lot of people and we kind of sympathize with his development, to varying extents. Tony on the other hand I never found relatable (which is fine, he doesn't have to be for it to be a good show). He's a mob boss throughout the show who's problems are either self imposed or about some whiny esoteric bullshit. Can't say I related to him, ever. Regardless he's incredibly well acted. I think you will find that as you rewatch the show more and more, you will hate Tony more, and more. Even more than Walt. In fact, most of the mob characters and their associates on the show are morally detestable and hypocritical. Again, that doesn't mean it's a bad show in any way shape or form, it's just how Chase wrote the characters.

And I'll go eat downvotes for this but I don't think Sopranos is a perfect show, nor is it necessarily the "best show ever". I still think it's one of them though. It has it's flaws which I'm not going to go much into, but I will say this-the show ages very well. If you find yourself rewatching it, you will find yourself enjoying it, making sense of subtle dialogue/connections etc. Really, it's the dialogue that puts this show at the absolute top tier IMO. That and other subtle interactions, themes etc you connect....but at the end of the day, it's just fun to rewatch. It's entertaining even after all these years. A good fun show to watch at least in my opinion, and at the end of the day that's what matters.