Not a short story lover.  But there are some that tell a longer story episodically.  Olive Kitteridge by Elizabeth Strout is like this.  The chapters stand alone.

I dove into Fight No More with the advice from a reviewer that this book of short stories (finalist for the Pulitzer Prize) was episodes in a longer story.  It was, sort of.  The writing is excellent.  I could see the characters and their situations.  But they did not engage me.  All the stories are dark, and all the characters have pain and suffering in their past lives: The Holocaust, familial rape, drugs/alcohol, internet porn.  Naturally this leads to pain and suffering in their present lives, though you do hope that Lexie and Jem escape.  Not likely.

If you like the short story genre, this book will be a good read.  For me, it was a good bedtime read because most stories are short.  Plots are not “resolved”, but neither is life.  These are well made YouTube videos: on and off.  Millet is a prolific writer and I’ll try one of her novels for comparison.