Designing a font by designing two other fonts, is counter-intuitive—and for a good reason. Designing the “middle” font as a “puppeteer”, by (re)designing two extreme fonts, does not give the same degree of freedom, the same unhindered focus, as directly designing the “middle” font.
I think that really depends on the design. For me it worked fine.
If the “XXXNar Thin” font would be missing, it would not be possible to create it by interpolating from the “XXXNar Medium” font and the “Thin” font.
There is no technical reason to have a “XXXNar Thin” (neither in a font editor nor in variation fonts. It can be extrapolated from the Medium, Thin and XXXNar Medium. But that doesn't mean that the result will be any good, but it might be (again, depending on the design).
I usually do only the extremes but thar doesn't mean that I don't design/draw the regular carefully. Just not by moving the handles directly but by adjusting the extremes. It is a bit like puppeteering but for me the advantages of having less masters to is more important. And if I can’t get the shape right in some glyphs, I still can add an extra master for that glyph.
If you need two or three masters on the weight axis depends on the design of the font. So you can try to us only two, interpolate the instances and see if you like the result. If not, you add add the Regular in the middle. If you need corrections only on some glyphs, you can add add extra 'masters' per glyph (in Glyphs.app with a brace layer and with an extra UFO in designspace files, I believe). That way you save a lot work.