You have to beat the story stuff normally, yeah, and it remains as dumb as anything, especially since the story isn't worth shit (though in your case, RoS is actually pretty good, so don't fret it too much). Season characters don't need to do that, thankfully, but I don't know why they haven't fixed the idiotic restrictions. Nobody likes your stupid story, Blizzard, stop forcing us to interact with it. Even worse on console. I had the PS4 version so Heather and I could play on the couch together, and we had to take 2 characters all the way through the whole damned thing just to get to the end so we could play adventure mode. It wasn't fun in the least, in large part because on console, it doesn't let you freely select difficulty past a certain point until you beat it, and the game offered us absolutely no challenge through its entirety. Basically could just stand there and mash X. I focused every single piece of my gear on damage output to make it go faster, at the total expense of personal safety, and still never died.