These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Angst? What Angst?: Although whether he actually believes him so far is unclear, Yumeji's reaction to Hercules revealing that they are brothers is pretty nonchalant.
Well, he did have prior warning and time to think it over.
Plus, it helps that Heracles was not speaking literally when he called Yumeji his brother. He was referring to Yumeji as his brother because he was alluding to the fact that the source of their powers, and thus energy "signature," were the same.
Crazy Awesome: John Doe's cat army. when fighting Heracles, they shoot cannonballs attached to steel cables to lock his arms, then surf them down while gunning him. You can't get much more crazy than that.
Epileptic Trees: At the very beginning of the manga we see a young Yumeji leading a girl his age through a nightmarish-looking place, telling her that he'll definitely find a way back home. They then reach a door but all we see after Yumeji opens it is his shocked expression. The girl he was leading had the exact same hairstyle, clothes, and hat as Merry, though we can't see her ears or eyes. Isana also mentioned that she felt as if she knew Merry before in the manga. Finally, there's a spread in the fourth volume that has human characters on one side, dream demons on the other. Merry's on both, and she has human eyes and ears on the human side.
Fridge Logic: So the Dream Demons under Hercules want to take over the world by possessing all the humans. However, because it's impossible to take over a host full time, that plan can't really work. John actually calls this out and wonders if there's something more to Hercules' game.
Magnificent Bastard: Hercules. He's clearly scheming something much more well thought-out than just supplanting the humans.
He wants to create a world where Dream Demons can physically exist without vessels.
Villain Sue: anime-only Big Bad Mistilteinn Treesea. John Doe says that even Heracles (the real Big Bad of the series) recognizes her power, she is almost invincible and has no real motivation for what she does.
Ironically, Hercules is only a Disc One Final Boss so his 'acknowledgment' doesn't actually mean a whole lot.
The Woobie: Lost in a world she knows she doesn't belong with, no memories of her home and no way to get back... yeah, Merry qualifies.