I did listen all the way through, mostly because I don't remember if I've read any other Gene Wolfe stories and I thought I'd give him a try. But this one didn't really do it for me.
As is pretty much always the case, 2nd person narration was needlessly distracting. It always comes off as cute literary experimentation that does nothing but drive me to distraction.
I also found the parallel reading of the book with the real-life to be distracting. When Dr. Death and Captain Ransom (weird name for a hero btw) show up in the real world, obviously that's relevant, but in every section devoted to them I didn't really get the point of it. It just seemed like padding to make the story hit a specific word count or something.
I'm not opposed to stories using oft-used conventions, in this case the child using fantasy to escape a less-than-ideal reality. But when that happens, I find it hard not to make direct comparisons between the different instances. Pan's Labyrinth was such a great use of the convention, that this one pales in comparison, and I find it hard not to make that comparison.