My response to this is very mixed.
I had no problem following things: No production gripes, and no gripes about the quality of the story. It was very well done. Great "visuals", tight plot, ideas that are fresh and cool, real suspense, and a great vibe of coherent otherworldliness. The twist at the end was just as a twist ought to be: I never saw it coming, but it made perfect sense in retrospect. (The twist of course being that the Veteran really didn't care a whit about any of the other characters, but only helped Cheel for his own selfish purposes.)
I have always loved stories that trample all over genre lines. This story has steam-age technology, gangsters, high (it-might-as-well-be-magic) tech, giant lizard things, a galactic war, some touching personal drama, and a guy struggling with his fading charisma. What genre is this? I couldn't tell you, and that, in itself, is very cool IMHO. Stuff like this has been called "weird" and I think that's an adequate descriptor. It reminded me very much of another genre-trampling story I read recently, "The Scar" by China Miéville.
And my reaction to this is mixed for some of the same reason I felt so very torn over The Scar. Both created a unique and compelling world, filled with interesting people, amazing things, intriguing conflicts, and gripping events, but both were nihilistic. In the midst of the amazing scenery, the lives of the characters are futile and meaningless.
To me, the most striking and memorable image in the story–bar none–was conveyed in a single sentence about a woman trying to hold her baby up out the water, spending her last breaths struggling in the futile hope of keeping her child from being eaten be the aquatic monsters in the river. I don't know about anyone else, but as soon as I heard that, the focus of my attention was on the woman, her baby, and the other hapless bystanders sharing their predicament. I cared about them. That they are horribly devoured is not, of itself, a source of discontent (stuff like that happens). It's the tone: In the context of the story, these people don't matter. Every character in the story, save the Veteran, either dies a pointless death or ends up in a state of suffering worse than that in which they started, and I get the impression that the narrator has no more compassion for them than does the Veteran. The people are just literary object, to be killed as is expedient, and who cares about them anyway? Their lives are petty against the backdrop of the Veteran's war.
Miéville does the same sort of thing. He builds these full lives for his characters, makes them seem real, makes you care about them, and then dismisses them to death and despair with a shrug, moves on.
I feel like I've devoted a lot of space to complaining. That's because my complaint is strange, and it seems like might need some explaining to make sense to others. The length of the complaint does not equate to disparagement of the story. This story is certainly of high quality.
But (to me at least) it isn't fun. I keep thinking of a mother holding her baby out of the water, and I feel a need for that image to be justified somehow, for it to mean something. But it doesn't. That leaves a bitter aftertaste, and I'm not sure if intriguing fantasy is sweet enough to balance it.