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This is a "Wild Mass Guess" entry, where we pull out all the sanity stops on theorizing. The regular entry on this topic is elsewhere. Please see this programme note.

Madlax

The whole series takes place inside Margaret's head.

Not the most original idea, but it explains a LOT. Between existentialism pouring from every direction and the entire reality being shaped by the mad Psychic Powers of a selected few individuals, with Margaret being the strongest psychic, it is the first idea that should come to one's mind. (See also the "Death Note takes place inside L's head" theory).

Moreover, reading the creator's comments with this in mind may lead to the conclusion that all the prominent characters in the show (the "Gatekeepers") are fragments of Margaret's psyche, from which she had to piece her personal identity together. Moreover, it can be assumed that every character in the show is a piece of Margaret; hence, the "broken pieces" motif scattered all over the series from the opening theme to the final episode's title.

Going further with the theory, it is possible that every character who died in the series didn't - they just merged with Margaret's psyche. That would make Vanessa, Elenore, and Carrossea's deaths and Limelda's survival less bitter for some. On the other hand, it would suggest that Friday Monday didn't die, either — a disturbing notion if you think about it. It would also raise a major question of the metaphysics behind Margaret, Madlax, and Laetitia's assumed unity; but answering it (for example, by assuming that the latter two are two different persons or personas whose psyches were mushed up with Margaret's to help her snap out of it) would lead us too deep into the Epileptic Forest.

There's no such thing as too deep into that forest! Someone lead the way!

As for the back-story — the state of Margaret's mind described above may be a result of traumatic events (possibly involving patricide) that shattered it into little smithereens and left her in catatonia "in the real world", whatever that may be. The final shots of the last episodes may have been her last moments before awakening. Or maybe she decided to stay in the imaginary world, literally allowing her fragments who, she thought, deserved a real life to live to the fullest.

It is possible to exit from the Sanctuary into any location on the planet.

Margaret traveled from there directly to Nafrece in the back-story and in the final episode.

Vanessa, Elenore, and Carrossea are alive.

Margaret's vision, which is her Wish, showed those three people, and her Gift grants Reality Warper powers up to and including starting and stopping world wars.

This would explain why Madlax was okay with hitting the road with Limelda: she knew that Margaret could and presumably did resurrect the people Limelda killed, including Madlax's love interest.

This seems to be confirmed by some of the finale commentary.
But it raises the question of why Madlax didn't get to see Vanessa then.
- Likely, Margaret put them back in Nafrece. If true, then this would be something of a Reset Button, though Madlax probably would visit her eventually.

Vanessa, Elenore and Carrossea are dead.

Contrasting theory to the above, that the three remain dead at the end of the series. Margaret uses the gift/wish to end the war in Gazth-Sonika, retain Madlax and Laetitia as two separate beings instead of rejoining Margarete's persona. Madlax goes with Limelda despite Limelda killing Vanessa because Limelda is much more of love interest instead of Vanessa as speculated. In addition it's pretty clear Vanessa has found peace which is why Madlax is at ease with her death.

Friday Monday is the Madlax world's alternate version of Richard Dawkins.

Specifically, he's Dawkins plus the Gift plus the Words of Saruon minus his grip on reality, in that order. Yes, Mashimo said that he was an artist; but nobody said alternate counterparts have to have the same career. This is based more on their vaguely similar appearances than anything else.

Plus, both of them have and use an embrace of Appeal to Nature that's both cosmetically appealing and maddeningly inconsistent at its heart. They go different directions with it, though; thus, Friday Monday doesn't have a university seat and feels an intense need to be an Evil Overlord. (Whereas Dawkins merely feels an intense need to try to convert people to atheism. These two needs may be conflated a little in Kouichi Mashimo's head.)

Enfant is an alternate universe version of the Patriots.

Enfant and the Patriots both dominate the world by controlling information, the connection is obviously in the. . . La-li-lu-le-lo. . . Secondari. . . scissors 61. . . Door of Truth. . . but who is really pulling the stings?