Don't hurry to try and take it all in at once. The game isn't so merciless at the start that you'll be killed for not understanding one aspect of the battle system, and when certain elements are needed in major plot battles like chain attacks then they'll be explained again. Rereading the tutorials is never a bad idea if you have something specific you don't understand of course, but otherwise it won't kill you to grasp one at a time.
- Colours are used in a couple of things. One you've already mentioned, chain attacks. Basically just keep using the same colour over and over if you want maximum damage, as the more you use the same colour the higher the damage gets - if you switch to another colour it's reset. The only exception is the big grey talent art in the middle of the attacks bar, that can use chains built up by other colours to do loads of damage.
- The other is as an easy visual clue to what the art does. Purple ones (when positioned properly, in Shulk's case) 'break' the enemy, then you can use the green to knock them over for a few seconds and leave them vulnerable for more damage, then before that wears off you can use yellow to dizzy them. Purple -> Green -> Yellow basically.
- Chain Attacks are explained again later, but basically you build up the bar at the top of the screen by doing two things - timing those presses of B well in battle (where a circle appears and then a larger circle shrinks inside it), and using Shulk's arts from the proper position on enemies (sword pointing to the side, attack from the side, Back Slash, attack from the back). It'll do critical damage and charge your bar a bit.
- Affinity does a few things. For one it makes you more likely to extend chain attacks (basically after everyone's had a turn at attacking the higher the active party members' affinity the more chance you have that the first character on the list will get another go, and then the second... etc). It also lets you see special talk scenes between the two characters in question during the game if their affinity is high enough, and makes it easier to craft gems well.
- Raising it is done by those timed B presses in battle (you get more affinity if you press B when the shrinking circle is ON the blue circle, as opposed to when it's inside it), by giving characters presents they like, and you can raise the affinity between whichever character you're using as your party leader and any other character in your active party simply by accepting and completing quests. Occasionally the other character will chime in with a line of support and it'll go up.
- Skill Tree, just choose whichever of the lines of skills looks the most useful to you, and when you've learned that line move on to the next. It's not like you have many choices. Arts menu is just use your AP strengthening the arts you use most until you get too many arts to fit in your list, but that won't be for a little while if you're not far in. Just replace the ones you don't find yourself using very much.
Dunno if any of that will be any help at all.
I really wondered whether I would get them all (since this game's areas are huuuge), but if you are carefully searching every spot on the map you shouldn't miss the quest items (that arent loot drops).
