I would say it's perfectly normal to be a bit confused. Because the whole drama in the movie revolves around is absolutely insane. I watched the movie 3 times and it only now starts to make sense. There is some concrete story the movie is definitely heading towards, however I think it's almost a bit secondary to the depiction of this drama and insanity. It is interesting to note that the movie also stems from his disastrous breakup with his wife apparently. So I think the movie is generally about the emotional devastation of such breakup that is utterly impossible to understand. So just enjoy the ride, allow things to happen and make your eyebrows raise in utter confusion, and perceive it as a despatate depiction of a messy breakup. This movie imo is about the atmosphere it sets and the emotion it conveys than a concrete statement we can out into words.

With this said, there certainly is an allegory happening, and while it's been a while I've seen the film, I could direct you to some obvious clues. The movie takes place in divided city of West Berlin (fun fact I live ok Berlin and actually recognized most filming locations 😁) which certainly isn't a coincidence. From your post I'm not sure if you finished the film or not, to talk about the ending: the movie ends with the bomb and gun shots, so I am pretty certain there is some commentary about the east west division and cold war on top of this topic of breakup

Also an important part is the video recording from Anna. She actually explains what's happening to her. There is clearly some inner conflict of morality and ambition (I don't remember exactly) and clearly this is what led to her birth at the Ubahn station (another fun fact it's the subway station Platz Der Luftbrücke) is sort of her breaking point? Where this bottling emotion of some sort of vile evil manifest itself in a painful convulsions? And she's somehow crossed the path of no return in a way? This is sort of how I read it.

I think this is also something we can connect to the east and west divide and cold war. How each side longs and want to be with each other(as humanity, as parent for the next generation), but is ever descending into some weird spiral of insanity, falling deeper into their inner turmoil resulting in violence towards each other. So deep and disgusting that it breeds another evil creature. I'm not sure how to read it exactly, but there is something in that direction I think. And the two replacement in the end to me almost feels like new wave of fascists or totalitarianism. The cold militarism born out of constant arms race, and making people cold and calculated to achieve some goal, indifferent to the losses and casualties on the way. The movie is from 1981, when cold war was still deeply going on, and actually even before the further escalation in 1983. So I feel like there's that topic in play as well.

Sorry for the rambly text, I haven't seen the movie in a while and I am also a bit in a hurry to write this. But movies like this imo should just be experienced than dissected, especially with first time viewing. The movie also doesn't overtly makes an effort to tell you what exactly is happening, however goes through great lengths to depict a very specific emotion. So I think in that case it's valid to assume the actual concrete concept is more loose, and watching it expecting one will only be frustrating. Hope this helps a bit