In the downloadable wallpaper of the 1000th comic strip of ''Grand Blues!''◊, the angelic Primals are shown at the top right corner, with Lucio using his powers of light to bring sparks to the image's title. Beside him is a confused Olivia, seemingly examining him. This may be a proper reaction to how a powerful being would use his powers for mundane things, but there is another lore-wise interpretation of this. Olivia may be looking at Sandalphon, confused that there are now two Supreme Primarchs (as implied in her Fate Episodes, Olivia only knows the existence of one), and she has never met Sandalphon in any event, nor knew of Sandalphon's heritage from "What Makes the Sky Blue II: Paradise Lost" since Olivia wasn't present in the event.
Not actually a Gameplay and Story Integration per se, but some characters' playable versions tend to apply some exaggerated tropes or Grand Blues!-exclusive Running Gags into their skill set or mechanics, even though they aren't explicitly covered by their main lore:
Summer Naoise's passive "Irestill Knight" boosts his defense by 80% when he is debuffed. In Grand Blues!, Naoise is able to resist the harmful effects of Katalina's lethal cooking (sometimes even exaggerated as applying the Poison Status Ailment), and eat it like any ordinary food.
Summer Sandalphon's passive "Nostalgic Flavor" makes him immune to the Sleep status effect. Since one of his defining characterizations is his obsession for coffee, it would make sense as caffeine overdose can induce insomnia, or the feeling of sleeplessness.