I also remember being confused about the status of the men with the hounds at the beginning of book one, but it does all become clearer!

I would recomend staying with the series, for the most part I have thoroughly enjoyed it (I wasn't a huge fan of midnight tides). I think once you get into the style of writing it all becomes easier, and while I had to push on through the first book (until I was about half way through, at which point I began to get it) I am very pleased that I did.