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.
It could have always been that Will was a little more easy to keep under control than Malice.
Another explanation is that because Yuri's father died when he was young, before Yuri Fused for the first time, Yuri was never trained how to use the full range of his powers the way Shania was. What Will he absorbed to probably balanced out his Malice load until the start of the first game when he started facing hordes of monsters in a short space of time, causing his Malice to build faster than his Will and causing the Four Masks to manifest. Since the Masks would have had a vested interest in NOT explaining things to Yuri, it was never mentioned in the first game and the effects of the Mistletoe in the second game sealed that connection (had he even been aware of it.)
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 along with her family on that fateful day 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.
More accurately, the Holy Mistletoe was eating away at his long term memories and soul. By putting what was left of himself in his prior self thanks to the temporal loop he is able to stave off the loss of his soul and he remembers enough of Alice to be excited to follow Koudelka's telepathic voice that guided him to Alice in the first game and likely forgot the rest of it by the time he would have been able to take action to prevent the default "bad" ending of the first game, thereby preserving the temporal loop. Getting to save and love Alice over and over again until the end of time is effectively Yuri's personal "Heaven" that the Mistletoe would have otherwise denied him.
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?
The games are set in the 1910s. Photographs were uncommon back then, and someone like Ben would not have likely owned one. This would make it seem pretty likely that Yuri would have not made the connection behind "Red-headed caucasian" and "Mother - who was a redhead." Not only that, but Yuri could have blocked out some memories due to Dehuai sending monsters after him.
I actually thought that the reason why he shield Karin from the blast in the beginning of Shadow Hearts 2 because she resembles his mother but eventually brush it off as a coincidence or he didn't think much of it after.
A better explanation is the fact that (per the events of Shadow Hearts 1) Yuri was very young - about 7 - when Dehuai's monsters attacked the homestead, resulting in his mother's death and his first Fusion transformation. The psychological strain and youth could make it hard for him to remember how his mother looked nearly 20 years later.