It was also my first Miike, and my initial reaction was very similar to yours. Only that I (maybe) tried harder to make sense of it, and (after consutling some reviews, essays, etc.) it did! Well, I don`t remember it properly, as it has been some time (years?) ago, but let me assure you there is a point to it, and not just on the social commentary-side. My Next film was Graveyrd of Honor (one of my favorite films), and things went easier. Before watching the next one (Ichi) I gathered some informations, and it helped tremendeously appreciating the film.
But the last Miike film I saw, "Izo" left me wondering again...

Maybe I should recommend you watch Blues Harp, or Dead or Alive 2, if you want something "easier" more conventional, but imo still pretty good.