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Let me answer your question. In many respects, Crossbell games are the pinnacle of the series. Only their characters are not as good as Sky, but they are still very good. The main script is even better written. Since Sky's main scenario was simpler, they were trying to close this gap with character dialogues. It has more creative mission designs, better boss battles, better pacing, more fun gameplay, better teamwork, better world building, better level designs, better dungeon designs and an even better map. Most importantly, there is a darker tone throughout the game. It eliminates or blunts many of the flaws that Sky has. I love Sky, but Crossbell is on a different level and overall more successful. SSS is a great team.
Finally, it all matters. Especially if you don't play the Crossbell games, you won't be able to top some of the unfinished moments on Sky. At the same time, many events in Cold Steel have connections to Crossbell and you cannot understand them. Therefore, I definitely recommend you to buy it.
Zero and Azure are also in my opinion, the two best games in the series. They're tightly plotted and don't get bloated out of control, the cast is consistent to make it easier to stay attached to characters and doesn't get bloated out of all control. The writers also had some good and interesting ideas and were able to use proper foreshadowing instead of just doing whatever and saying "it's magic or something, I dunno."
Also CS3&4 have lots of referencies as said above, and Reverie is 101% meaningless without them.