Voight Kampff from Lost in the New Real is the FuturemanYes, technically Lost in the New Real isn't an Ayreon album (obviously the Mr L thing at least incidentally ties it into the mythos), however it all fits. The album basically tells the story of the headlong charge towards the end detailed in 2084 on Universal Migrator Part 1 from the point of view of Mr L as he has to try and acclimatise to his new world. Much like Mr L was already featured on 01 as remembering glimpses of his time as the Hippy in Into the Electric Castle, Kampff does as well, hence why out of all the people in the world he could bring back, it was Mr L, the person he spent most of the album paired up with.
Me is Nicholas/Victoria from Dream Theater's Scenes from a MemoryIt is the events of The Human Equation that lead him to seek hypnotherapy. In trying to get back in touch with the aspects of his personality he met while in the coma, he instead finds Victoria's memories, leading to a whole new mystery.
Alternate Timelines Exist in the AyreonverseTo be precise, this was created when the Forevers used time travel to change the future. This did not create a time paradox like people think, but in fact created a chain reaction where many possible futures were created at once. For one thing, this would explain the inconsistant characterization of the Futureman. Since the Electric Castle exists in a place beyond time and space, an alternate Futureman was summoned. This particular Futureman comes from a time when the war never happened and the technology wave continued to climb without the war to stop it. This is why he is correct in describing an interplanetary society in progress. Also, this is why in his future shown by Forever of the Stars, he sees humanity become machines, just like the Forevers in 001011001. Thus, the Forevers didn't entirely fail in their mission to save humanity, that timeline may have been doomed, but there could be plenty of others where they could have listened to Ayreon and Mr L or some other outcome.
Knight and Roman in the Electric CastleThe Knight is Lancelot. The Roman is Cincinnatus. The Knight is Lancelot because of the references to the Grail Quest and his longing for his lost (unattainable?) love, who is likely Guenevere. Also because the Electric Castle is a literal and metaphorical "Chapel Perilous" experience, which took its name from one of Lancelot's adventures. Finally, while there are other knights tied to the Grail Quest, most are bad choices for it - Galahad was too free of earthly concerns for the "lost love" bit, and while Percival and Bors were present with Galahad (and Percival especially is concerned with the Grail's healing properties, for the Fisher King), they achieved it while the Knight here obviously only gets a passing vision of the Grail, which again is characteristic of Lancelot's story. And the Roman being Cincinnatus? Personal preference. I just think it's cool, and the Roman's got an unusual mixture of discipline and empathy for some of the more famous Roman figures who would've probably acted more like the Barbarian than the Roman. No real ideas for who the others might have been, if they were meant to reflect real people at all.