Dept. Heaven/WMG
The Netherworld exists within the Dept Heaven universe.
As made plain in side materials, the angels vs. demons conflict in DH is much, much less Good vs. Evil than Order vs. Chaos with good and evil people on both sides. That given, it's entirely possible a morally wonky place like Laharl's domain could exist with in 'verse, away from the major points of interest demonstrated in Dept Heaven games.
Ein is somehow different from the other Grim Angels in a way that will be important in some later game.
Even the fake Grim Angels like Malice have pale skin, but Ein's is a normal tone--and despite his being so new that Rose and Ledah literally have to teach him everything, he has a range of emotions and independent thought that would be normal for a human, despite the fact that Word of God says that angels' natural environment makes it hard for them to develop those things without external stimuli. Since the entire 'verse was built up around Asgard, the angels, and the building blocks established in Riviera--and Ito is a very meticulous director--this smacks of some form of Chekhov's Gun rather than a plothole. Add to that the fact that Ein is a little stupidly overpowered for a noob, and something is definitely suspicious about this kid. There are rumors that the gods will eventually revive, so could Ein be the Asgardian counterpart to Gulcasa?
Episode III is going to involve the political battles between the Magi.
The current plans for that particular game are that it'll be an MMO taking place in Asgard at the same time as Knights, Ito has expressed interest in creating a game that uses the Magi, and since Dept. Heaven is too progressive to borrow from old systems like that of Civilization, bringing in hordes of human players might be the solution of how to translate intrigue into gameplay.
Hector really is behind everything.
In Blaze Union and Gloria Union, two of the more despicable villains (Alanjame and Gariored) happen to use the Judgment Zero card, which is tied specifically to Hector's artificial Grim Angels. In the former case, Alanjame claims that he was given Judgment Zero by God when he first gained his position; Nessiah identifies his card as a replica of the one the test subjects use, but seems unnerved that Alanjame could have it. What with Hector being Hector, he could very well be enabling troublemakers in the surface worlds to keep them out of his hair (if he's not just doing this For the Evulz).