"each piece tells a story, which is continued in the next piece and etc. You might enjoy listening to the 2nd concerto without having listened to the 1st one, but it's honestly better if you listen to all of his music in chronological order so starting with maybe his piano sonatas would be best."
Yes, and since the composer picks up from the story of the previous generations, one must listen from 'the beginning of the art of music', (say, from Ancient Greece - {see Harry Partch's treatment}, through gregorian chants, Perotin, Von Bingen, Guillaume de Machaut, and everything else, on up to 1837, {the year Mendelssohn wrote the 2nd piano concerto}) in chronological order to understand this piece. Obviously.
No time to listen to the 1st concerto? You don't have a spare 20 minutes before you go to the concert? (I wonder where they are doing concerts again...)