The inclusion of Will as the opposite/complementary force to Malice in From The New World always bugged me, because it had never been mentioned in any of the previous games. Besides, it was said too much Will is just as bad as too much Malice, yet only the result of the latter was ever shown.
If Yuri did really go back in time to save Alice after the good ending of Shadow Hearts 2, what happens to the world at that timeline when he does save Alice? The only reason there was a second game because Alice died and Yuri was moping, ending up in Domremy where his adventure starts around because of her death. Does that mean he dooms the world just to save Alice? Does that mean he doomed Anastasia since he wasn't around to stop Rasputin (or she ends up doomed to be killed by the Communists since I believe that Kurando would at least tried to save her if that happens if they end up as a couple, but since time is reset and Yuri doesn't really have a reason to go on a journey, Anastasia and Kurando won't meet.) Also if Karin is really supposedly his mother, than she won't able go back in time to fulfill her destiny since and wouldn't that mean Yuri was would never be born born? I am confused.
Yuri apparently remembers the original timeline, so there's nothing stopping him from taking Alice along to save the world again.
And the Anastasia that he knows there might not be the same Anastasia he and Alice meet again - because when everyone dreamed of the world they wanted, they could have gone to alternate timelines entirely.
Where the hell did the Four Masks/Atman go during the gap between SH 1/2? Whilst you kill the latter and break the former in the good ending of SH 1, its bad ending is still canon, so canonically those things didn't happen. So what gives?
In the bad ending of SH 1, Alice sacrifices her soul in exchange for the safety of Yuri's soul. Her selfless action clears Yuri's soul of the four masks' malice permanently. This makes it so the curse is lifted from Yuri and it's effects fade from his soul. In the good ending, Yuri and Alice confront Atman, who was basically the power behind the masks, and defeat him. With Atman defeated the curse no longer held power over Yuri. Therefore, the masks could not collect malice anymore to torment Yuri. Being powerless, the masks likely just moved on from Yuri's soul as they were unable to complete their vengeance.
What is the origin of Anne's Cross? If we are to believe what we are led to from Shadow Hearts Covenant and Karen is really Yuri's mother, Anne, then wouldn't the cross have no origin at all? We learn in Shadow Hearts that Ben received the cross from his wife and it eventually found its way to Yuri. We find out in Shadow Hearts Covenant that Yuri gave it to Alice but due to Alice's death he left it at her grave until he returned with Karen. Yuri then gave the cross to Karen at the time. Finally, with the ending of Covenant we are led to believe that Karen will end up giving it to Ben as she is really Anne. Where does it come from? Or is it some kind of fixed point in time to use Doctor Who terms.
While it's likely that Yuri might not have realized that Karin is actually his mother because of how out-there the idea is, shouldn't he have at least noticed the similarities in their appearance? Surely meeting a girl who looked exactly like a younger version of his mother would warrant SOME surprise and confusion. Did he really just not notice, or what?