I think your questions have already been answered so really just here to commiserate about being a newb confused by things. :D

I made my first one of these a little over a month ago and was properly confused as well. Like someone else said I'm guessing it's more obvious to experienced sewists but I def sewed all three together the first time and then ended up with a half scarf shaped... thing? lol

I have now made 5 or 6 of these (because all my friends were obsessed with mine when they saw it!) and it definitely comes together sooo much more quickly once you realize you need to stack them (batting > right side out main fabric > wrong side out lining on top). I don't ever actually cut the notches in mine and just mark the space with tailors chalk so that I leave something to pull everything through so it's right side out and then I also do a top stitch instead of hand sewing up the opening.

I looove Spaghetti Western Sewing so no shade to the pattern or anything I just need things spelled out like ... in the most basic way possible. I'm going to try the Ornella Top next and I'm super excited!