I see where you're coming from, Qui. And that's a fair critique, too. The "story" episodes (as in the ones that tie into the overall season arc) are a lot looser in terms of how they develop the overall story than a heavily plotted show. So, yeah, what ultimately gets termed a "story" episode seems like it might only have tangential relation to the overall story of the season.
Example:
In, I think, Season 7, you have a new big bad guy (I'm not gonna reveal anything here, so as not to spoil for those who haven't seen). One "story" episode has him sending a new kind of seemingly invincible trooper to attack SG-1. The whole episode focuses on them fighting the new trooper itself, and doesn't exactly advance the story as far as how they're beating the bad guy for the season. If I recall correctly, while the new troopers do show up in future episodes, they DON'T factor into the big final confrontation with the bad guy for the season, or at least only sort of factor in. It's not as if -- ah ha! -- by virtue of having beaten the new trooper in the one episode, they know the big bad guy's critical weakness and can exploit it at just the right moment in the season finale.
So, in that sense, yeah, "Story" episodes aren't quite the same kind of story episodes that you get in other shows. Not all the time, anyway. That, however, is true in plenty of shows. In B5, you frequently have episodes that, while they advance the overall story of the season, do so only very incrementally and often while dealing with only the immediate problem which doesn't really factor in later. Same is true on Buffy and Angel. This is even more true in earlier seasons of all of these shows, where the show writers aren't 100% sure if the show will be renewed, and are trying to build interest. The idea is that, while you may get bits of story-arc advancement, if you happen to miss that episode, you won't be totally confused and you won't need a "previously on..." to catch you up. Compare that to shows like 24, Prison Break, Lost, TSCC, The Wire, etc. Those shows, from the very start, are HEAVILY plotted to the point where if you miss an episode, you're gonna be friggin' confused going forward.
I think you tend to see more shows like the heavily plotted ones that rely on repeated viewing more starting around the 2000s, whereas shows like SG-1, B5, Buffy, Angel, etc. are very much products of the 90s (even if they ran during the early 2000s). I think it tends to be "safer" for TV shows to structure themselves so that you don't have to watch EVERY week to know what's going on from one week to the next, especially when you're just getting started. Once you have a devoted following and solid numbers, you can start doing more complex story arcs, and SG-1 ends up doing that more towards the end of its run.
Oh, and FYI, the Asgardians are indeed mentioned in S1, although I don't recall if they were shown. But the SG team definitely goes to a planet where they find "Thor's hammer" and I think they visit it more than once in the first season.