Anachronism, Philosophy, and Surreality?

Hello!

I'm working on a game meant to use the titular ideas, and was wondering about people's thoughts on said topics in games, especially on how to best implement them.

The project itself is meant to take place in an ambiguously-Baroque-era country, but with a convoluted web of alliances meant to be evocative of World War I Europe, wherein almost no action can be taken by one single country that doesn't involve at least several others by some means. Another aspect of it based on 19th/20th-century Occultism, which in itself dates back to Ancient times (though with the added bonus of a lot of its ideas, in this setting, happening to be correct). My hope is to create a work that is very much focused on thought and contemplation, via exploration of a setting that has many familiar elements, but presented in an unfamiliar way. OFF, by Mortis Ghost, is a large inspiration here--my ideal aiming-point would be about on-par with that work, minus the altered elements, in terms of approachability.

In this case, I'm aiming for, ideally, everything to line up and present to the audience something where all the parts are recognizable, but the whole is not, with ideas that sound strange and/or outdated to the modern mind, but in my work being the de facto rules by which reality works. Everything should seem outdated, and yet also not: for instance, rapiers and thrusting swords, while being a civilian-tier weapon not meant for the battlefield in reality, are implicitly the weapon-of-choice for most engagements, akin to a bolt-action rifle, say, a century ago: something that a civilian could conceivably own for their own use, but that would not be out of place on a battlefield.

What are your thoughts, both on the above, and on the titular topics as a whole? How effective is it to off-put the audience, or make them feel that things are amiss, or at least unfamiliar? How "deep" can a work get before most audiences get frustrated with it? Where's the line between "worthy of being analysed for the coming weeks to determine its true meaning" and "safely disappeared up its own rectum, and unlikely to return in the forseeable future"? Is it alright to leave the audience (slightly) confused about some things? How much is too much?