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Some characters like Alice, Halley, and Anastasia have rather low SP, while some characters like the vampires have ridiculously high SP. Fridge Brilliance because the vampires are used to seeing supernatural things, have lived longer, and are thus desensitized; whereas the others have been relatively sheltered. Naturally, SP Growth is them being more "Desensitized" as they become used to seeing these creatures and fighting them.
Halley's psychic powers have a rather high cost, because he's inexperienced and it drains him. He's not had any real formal training from Koudelka, and likewise his tantrums are him trying to replicate the conditions of when he first invoked them. The earlier powers are the ones he's the most experienced using.
In Shadow Hearts 1 it seems like it would have been pretty useful if Alice and Zhuzhen waited for Margarete to join them when checking out the monster infested town of Bistritz, even when the person asking for their help was killed. But remember what Terry said? Bullets don't work on them. Margerete wouldn't have been much help anyway.
In Covenant the village that Karen is investigating has very odd random encounters: killer toys like pull-string lions, duckies and so on. It makes more sense when you realize one of the party members you get later on is Gepetto. The game never says it outright but he probably was controlling all those toys to defend the village.
In From the New World, all of Hilda's Magical Arts are one level easier to cast (They have one less Green hit area than normal.) I'd just realized that it's because she's a few-century old vampire with so much experience. Unlike Joachim, who learns his attacks fresh, Hilda is both an expert mage and creates these attacks herself, allowing for smoother and easier casts. This applying moreso to her offensive spells though.
This is a pretty Crapsack (later Crapsaccharine) world, actually. You could kill monsters, but their malice may come back and haunt you. Nicolai unleashed a shitton of Malice on the world at once, resulting in a lot of other monsters.
Heck, consider the state of this world in the first place...that's Fridge Horror enough.
To underline just how little good is left in this world, the first Shadow Hearts game revealed that God Himself is not a benevolent creator, but an alien abomination that wants to destroy all of humanity. And you kill Him. What this says about the state of the afterlife and all of existence is very troubling.
Consider what was going to happen to Anastasia and her brother...and consider that they were around that age in real life when this was unfolding. But you can rest easily - knowing that A) the ending applies Kurando and Anastasia got together (And maybe Anastasia moved to Japan) and B) The timeline was possibly altered a lot, not just because of the Stable Time Loop but also because you go in and rescue the Romanov family.
You know that island where you fight that cat monster? You're not the first to go there...Lucia and her master have been targeted by Sapientes Glado numerous times.
What if Yuri's not the only one who has the malice of monsters manifest itself?
Imagine for a sec how Alice feels in the canonical ending...she knows she doesn't have much time left.
Karin has a pretty depressing fate no matter how you spin it. Ben Hyuga will end up as her Second Love and Yuri will be her son, but she has only a few short years before she meets her violent end. She also loses her memory in the process, suffering the very fate Yuri himself was trying to avoid throughout Covenant.