If you didn't find any enjoyment in Chapter 3's
or what happens at the end of Chapter 4 or Chapter 5, then I doubt these games are for you. I would still suggest you play until the end, there are some very exciting Shocking Twists (tm) in the last chapter that the story builds up to throughout the game, slowly but surely. Cold Steel I IS mostly set up for larger things to come. You are introduced to the nation of Erebonia, the main characters and the main factions of the story, but apart from some thrills & major incidents ALMOST happening near the end of chapters, it's still very focused on world-building & character development & setting up the arena for the larger conflict that will be mostly handled in Cold Steel II.
Can't really agree with the "mediocre setting", though. If anything, world-building & offering a setting that is worth giving a damn about are some of the strengths of Trails games. Even the clichéd school setting is far above most other school settings in games, with lots of NPC students who are actually worth giving a shit about & it's fun to follow many of their little stories throughout the game.