It's not a "catch-up" piece. It is the next piece in order.
Generally speaking, the order of fictions should go like this ...
1) Preview Fictions (in order of release)
2) Rulebook Fiction
3) Accompanying Web Piece
Based on this, most sets include six fiction pieces, which is how the DT:R Story archives are laid out as well.
However, there is a lot going on right now that is pretty much simultaneous. As we're approaching the climax of the story arc, time is slowing down a bit, so that there is actually very little time that elapses in between The Curtain Rises and The Showstopper ... but that doesn't mean that order is totally irrelevant either.
As for the particular question, yes, A Grand Entrance is supposed to come first ... however, in this case, you aren't missing anything by reading The Alignment first.