There is clearly a story and background of everyone and everything, its just not implemented within the game. Instead it is outside the game in the form of grimore cards. Completely confused on why this approach was taken.
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Speculation is that it was a late game change. The original story got cut and maybe they only had time to put together the grimore card system. There may be a treasure trove of narrative in there, but if it isn’t in the game it may as well not even exist to a large portion of the user base.