Yeah it's one of those anime that introduces itself as being just pretty and fancy. The real plot doesn't really come out til much later in the series, and everything before that is more like introducing you to his lifestyle.

I think a lot of anime aren't too good with first episodes explaining any plot, really. Some take a whole half of the series before getting to it. >_<
I remember watching an anime called Zetsuen No Tempest, and the first episode felt really great, and moved quickly with showing the actual plot. Though after that in the later episodes seemed to slow down with excessive speech scenes.

I also remember watching Reborn, and the first arc of the plot doesn't even show any hint of starting until episode 20ish.