I've listened to all the parts separately numerous times, but never once all the way through.
I wouldn't say it changed my life, but they're definitely an incredible and interesting series of concept albums.
He's put out a ton of other good music too, under his real name and pseudonyms.
You should check out this Leyland Kirby interview from a few years back, it's the best I've read done on him:
https://thequietus.com/articles/20970-leyland-james-kirby-interview-the-caretaker