Am I doing everything right?

[Anapingofness]

I'm actually surprised that no one has asked me to skip one yet. In WoW it was go! go! go! And i'd see groups wipe because people didn't want to wait for people to watch a cutscene.

You will run into those with the CM and Prae dungeons but as Avenger said, don't let people bully you into skipping.

As for leveling, make use of the challenge log, side quests, fates, levels, daily roulettes.
There is enough methods to get exp that you shouldn't really have to grind.

Above all, make sure you have fun!