You can play Cold Steel 1&2 as your first if you want a more modern introduction to the world and like the persona style school setting stuff, but CS3 is when the stories of all the previous games start merging together, so it’s very highly recommended to have played Sky, Zero and Azure before that or you will miss a a lot of it.

Also there is a 3D remake of the Sky trilogy coming, starting sometime next year with the first game. Though so far it seems to be Switch exclusive.