I think I stopped reading the snippets at the start of chapters someway into the third book - as far as I know, I haven't missed anything big. From what I can gather, they're there as bits of background information, adding more depth to the world, so you can rest assured that none of the plot points rest on something in a snippet.
As for your frustration about missing things, you are not alone. On my first read through, I found myself going back over things quite a few times, because I simply didn't twig. I've said it before, and I'm sure I'll say it again - even on fourth, fifth, etc., read-throughs, I pick up on things that I didn't the first time (or second, third, fourth, ..., time). Eventually, the frustration will morph into awe and childish glee.
If there's anything in particular you think you're missing, or want to talk in depth about, feel free to start a new thread, or send a PM to someone who has read them all.