I did my character's (H'aanit) chapter 4 first, but I also specifically did that to be "done" for the time being as I'd fallen off of the game (took me a while to even finish chapter 3s, took a month off of it and then did some job bosses, this was a month after that) but still wanted that conclusion until I returned, if I do return anytime soon. Hers first was always the plan, though; I did 2+3 in the order of the level recommendations but for 4 I intend to play through in the same order as I started in 1.
Regardless: I made a point of getting all the chat scenes and it wasn't too bad (I had a list of the order for each chapter), but I do wish they just gave you all of them automatically. Then being missable + arbitrary with who you need when just means people will miss out on conversations.
Though I'd also say most weren't particularly amazing, even if the interaction was inherently welcome. I can no longer remember specifics, but I remember a decent number of times where the scene for a party member was just about some super generic moment, when some other point in the chapter had an event/character that would have fit a reaction from them perfectly. Some scenes were great but a lot of them were just kinda bland, in the end.