

I think that’s intentional and setup nicely in the dialog.
“You never understood why we did this. The audience knows the truth: the world is simple. It’s miserable, solid all the way through. But if you could fool them, even for a second, then you can make them wonder, and then you… then you got to see something really special.”
It’s hammered home that the secret isn’t interesting but what the magician goes through to maintain the secret is the interesting part. You are supposed to figure it out but reject the idea because nobody would go through that for a trick.
It sounds like you were like the boy in the beginning who figured out the bird trick and wasn’t buying the more fantastic explanations in favor of the truth that the magician is just willing to be that cruel.
You can watch it again in a different order.
This is mostly about minimizing the number of viewings. So for a 3 episode series you can get order ABC and order BCA in 4 viewings instead of 6 by watching in order ABCA.