Nothing makes sense of course, it is a freeform kaleidoscope of music and art. The music can be very good, everything else can sometimes be a bit more miss than hit but certainly worth seeing (maybe just the once). Frank Zappa said he wanted to show how touring could make you crazy. He certainly succeeded.
The film is a little too self-indulgent if we are to be honest. A film of it's time, which can be a good and a bad thing.