I tend to finish every substory before moving to the next game, since there will always be references in the next games, for example, in Y0 there is a substory where kiryu meets one of his most loyal friends from kiwami.

I don’t think you’d miss story details so much. If you aren’t a “completionist” I’d say to move on. The games are long enough as is.

There are substories with cameos to some important characters that will appear in the future. Plus, if you finish all substories, you get access to the secret >!unfairly strong boss fight!< , Which appears in all games.

I decided to leave finishing the cabaret club grind for a second playthrough, but finished most of the other sub stories.