It isn't messy at all really, or no more so than any other Fox series
Firstly. There are DVDbox sets. These have every single episode released on. Series 1 is 4:3. I have no idea what the quality difference is between them, but they are made by fox, and they normally spend more time and money on the European releases, or at least that's the case for some of their other box sets (ie. Buffy).
The dvds with a few episodes on are quite different. I have the first two 'files' on vhs. What they are are extended feature length x-files story. The second in particular is the best. It is the best episodes of the x-files moulded seamlessly into one feature length episode, so that's the two/three parters made into one. The second one I'm referring to is called Tooms. It has a bit of new footage, and continuously shows episode 2 and I think 22 from the first series. However, if you own the box sets, I wouldn't bother. You will have almost all the footage in the individual multi-part episodes, all the case files are are the episodes put together without the credits

Kinda like simpsons compilations, all on the box sets but often later series episodes are out a lot sooner on the compilation tapes