I am with you here. Not many directors are able to blend action with a coherent story line.
Regarding musicals on stage versus screen, one reason I think Chicago left a lot of people cold was the fundamental difference between stage and screen. As a couple of other writers pointed out, musicals really aren't plot-driven, and often the stories have only a tangential relation to the songs. They "work" better on stage because of the peculiar chemistry that develops between a live audience and the singers/dancers. Paradoxically, there's more physical distance (unless you're in the first few rows!) and yet more physical and sensory "rapport" in the live theater.
In movies, the actors have to do very different things to connect with the audience. They have to *emote,* and film closeups let the audience see far more than they ever would on stage. Since the film actor never sees, hears, or communicates in any sensory way with the audience, in essence the audience is watching the film actor perform in a "private" sense.
This doesn't come across well either in Chicago or Moulin Rouge. We expect a kind of intimate revelation, or some insight, but we don't get any, because Chicago & Moulin Rouge both are essentially filmed stage plays. The physical chemistry between actor and audience is absent, and the intimate "camera's eye view" we expect in film is gone too (because musical theater is so stylized.) Thus we see the worst of both worlds.