You should mostly be able to enter the game and figure everything out through on-screen help and experimentation. However, to get the most out of the game, a solid grasp of some of its fundamental principles helps a lot.
The game is text-heavy, but there is very little fluff in those texts. They are not just for atmosphere. The texts in the game are worth reading and will explain a lot. I understand in many games these days there are long and boring texts that don't really mean anything and you can skip them to come to the important part at the bottom. This is not one of those games. The texts are there for a reason and will explain to you the consequences and restrictions of your actions.
Texts everywhere also include a lot of links. Whenever a character or settlement or realm name is shown in the game, you can click it to go to the details page. The same is true for weapons, buildings and almost everything else that has a page with more information.
Almost all of the options available in-game are limited to your characters physical location on the map. Much like in the real-world middle ages, if you want to do something, you have to be there.
This goes for the management of your settlements, battles, and even most interactions with other characters. If you want your realm to join another realm, you have to meet someone from that realm. If you want to check on or change the settlement construction queue, you have to go there and take a look.
A few parts of the game do away with this restriction for playability reasons and because I understand that if, for example, I would restrict messaging to medieval delivery times instead of the instant communication we have today, all of the players would simply switch to e-mail and set up forums to communicate.
But in general, if you wonder why you cannot do something, ask yourself if it would be physically possible for your character or if you have to change your location. Also keep in mind that city walls block interactions, so even if another character is only a short distance away, if he or she is inside the settlement and you are outside, you will not be able to interact.
So, in a word, location matters.
There are no NPCs with quest markers. You set your own goals, or follow your liege or ruler. This also means you have no quest path or storyline to follow. It's an open world, you can do whatever you want to do.
It is also highly political. Communication is key and "multiplayer" doesn't mean there are others running around but you can ignore them, on the contrary. Interaction with other players is the key component of the game. Everything you do is political. Who you attack, which settlements you control, what troops you lead into battle - everything you do will affect how other players interact with you.
Finally power, in Might & Fealty, is not how many soldiers or estates you have. It's how many soldiers will show up when you call your vassals and allies to war. If you are a powerful land owner, you can probably bring a few hundred soldiers to a battle. If you are the ruler of a large realm, and your vassals obey you, you will laugh about that lone wolf and his little toy army.
Might & Fealty is very much a game about being a part of something bigger than yourself.
Part of the sandbox nature of the game is that it will allow you to do things that are dangerous or outright suicide. The basic principle is that if your character can physically do it, then the game will allow you to do it, no matter how stupid, risky or politically damaging it would be. When you visit the capital of your realm with the three surviving soldiers of your army, there will be a "take control" action available. If your ruler is there, you will have a button to attack him. If you were to click any of those, you'd almost certainly have hell to pay just for the attempt. But the game will not hold your hands. In the terms of EVE Online, it's all zero-space.
These actions are available not just because I am strict on the sandbox nature of the game, but also for the once-in-a-century times when you do want them and they are a part of whatever crazy ambitious plot you've hatched. Maybe it's a revolution, maybe everyone else in the capital is in on it, maybe you are an assassin, maybe it's part of a roleplay.
So don't click every button just because it's there. Everything you do in the game has consequences.
There are a few in-game terms that are very useful to understand: