I think that it might have been in the director's mind to do this. That way, people will come back to see it just to understand the movie. Pretty good deal. The two best things of the movie was the visual style and the performances. Gilliam has always been like this, from what I have seen of his stuff.
Every scene is rich with detail that all seems to relate to the story.
I love it when directors do this. Another example of this is the movie Seven. The performances are magnificent. Brad Pitt, who I thought could never act in a million years, gives one of the best performances this year. Though not as good as the sly Kevin Spacey in The Usual Suspects, Pitt proves himself as an actor with one of the best psycho-parts I have seen.