Ok, so I’m 2 hours in and my mind is fucked.
How should I proceed with the story? Replay one person to see all the choices i.e. complete all the intrigue modes that I can?
That's the charm of the game. Play thru however order you'd like!
In the end, the story will come together all well tied up, with little bow on top.
My approach was to play any available characters as far as I can carry, one at a time.... Then focus on destruction mode for a while to level up and unlock the next patch.
And you can re-watch the whole story in more or less chronological order as well, if want to dive deeper.
edit: You will hit a roadblock for each person's story when you reach to certain chapter. The game tells you in order to open up, you'd need to progress certain character's storyline to certain amount of chapters etc. When I hit that mark for all the characters and couldn't see anymore - then I changed to the destruction mode. You play thru and upgrade your gears however you'd like - until you can't progress more. The game tells you that you have to be at certain point in the story mode in order to progress... then I switched back to the story mode. Rinse and repeat. That was my approach.