I also remember the days when you needed all parts in order to even extract anything and then when you opened part 1 for example, ALL parts(1, 2 and 3)would get extracted into the same folder, instead of the mess that this is.
It's never been the case for this game, I was just using 3 parts as an example. So yeah it's not exactly straight forward when you can play using just part 1. I would think the game would crash or not even open if a 3rd of the game was opened.
I'm guessing these are just continuations and there will eventually be 10+ parts and maybe one will only need to download parts 8, 9 and 10 if they have been neglecting updates for a bit. Just a theory as to why part 1 opens by itself. *shrug*
What it is is that the developer doesn't know / want to learn how to do linked archives. So they manually separate out the data files into separate compressed files. Part 1 has the files needed to run the game and the first section's areas, enemies and scenes. Part 2 and (now) 3 have data for later areas, enemies, and scenes. Since it's only missing the later areas, it'll run fine until the game tries to load an area, enemy, or scene that's in a later part of the download. Instead of crashing and giving a "missing x file" type of error, it just gets stuck loading infinitely.
I know it's not straightforward, and the first post used to just day the standard "extract and run". I spent around 7-8 updates posting and reposting the full installation instructions, written in fairly minute detail so anyone with basic knowledge of clicking a mouse should be able to install the game correctly.
The first post installation instructions now say to extract and combine all the files, so I haven't had to do that as much. But there are still many people who don't pay attention to the first post installation instructions, and just show up asking "why am I getting this error", which is nearly always because they didn't install correctly.
You may be able to only download later parts (eventually), but I personally wouldn't bet on it. Any changes top the data for Part 1 could mess up later parts if you only download the old files. Though if you keep up to date you could manage with just the update only files. Though using the update only files REQUIRES the exact previous game version, and can break if you miss any updates (like a bugfix update).