There is really nothing wrong with watching cutscenes your first time in CM or the Praetorium. I would say you were fine and the player who criticized you was out of line.

Fortunately SE figured out that story dungeons lead to antagonism in DF so all the later dungeons postpone any long cutscenes until after the end. It is a bit sad though since story dungeons can be fun and immersive.

Cross world PF is now a nice option if you want to put together a serious min ilevel story mode party, watching all cutscenes between actual battles that might offer a tiny bit of challenge!!