I also found the Zulip UX to be really confusing at first. The issue is messages show up in multiple places which is unintuitive for someone with a spacial brain like me. What I do (because I use Zulip every day) is read messages only in their threads. I click on one thread in the sidebar, get caught up, then move to the next thread. (This is also how I use Discord and Slack.) So I treat it as if channels contain threads which contain messages.
But Zulip’s default view is a list of all messages in all threads in all channels which has no context for the individual messages, like
Zulip's product lead here. Yep, reading messages thread by thread is the recommended way for most folks. (There's even a keyboard shortcut for going to the next one.) The inbox view, which lists the threads where you have unread messages, is the default home view (unless your org admins changed that setting).
The combined feed is helpful for some (e.g., in lower-traffic organizations, or if you like to see messages as they come in), and was the default home view many years ago.
But Zulip’s default view is a list of all messages in all threads in all channels which has no context for the individual messages, like
https://news.ycombinator.com/newcomments