Live a Live/WMG

One of Demon Lord Odio's avatars is in fact Dio Brando
Think about it; in Japan Dio's name would be written Brando Dio... and his entire childhood was meant to make him into a bitter and hateful man.
 * Except that Araki writes the names of his non-Japanese characters in the Western style, so it would still be Dio Brando, not Brando Dio.
 * Playing off this...

The game is a massive Shout-Out to JoJo's Bizarre Adventure.
Seven parts all connected by theme naming?

The Medieval Chapter was one big Evil Plan by the former Demon Lord
Inevitably someone would strike the Demon Lord down, and he knew that. So what did he do? He prepared for someone to continue his legacy. He forged magical statues with pinpoints in time so he could conquer more. Then he attacked again. He captured Alicia, drew heroes towards him, and he was - physically - forevermore vanquished. A small sacrifice if he could forever scar humanity. At this point, he probably knew Hash, honorable hero that he was, would not be satisfied with such a feeble show of strength by what he knew was an opponent worthy known of being a demon. He would search for the demon, and Odio would try to feed on any hatred left in him. But what's this! Hash had plague. He was unfit to even fight. Tch. Foiled by the noble sacrifice of the old guard. But even still, they had brought young blood... Straybow, Straybow was the target. Odio seized the opportunity and unleashed Straybow's resentment and hatred towards being second fiddle.

At this point, he probably wanted Straybow to be his successor, to go through time and conquer with the statues he'd left behind. But Oersted came. He saw. He fought his former best friend. He lost his love. He lost everything. Odio's gambit paid off bigger than he ever imagined, as now, Oersted's sense of justice was ripe to be twisted by hatred... and he turned on mankind.


 * Wait, so what was the shadow-thing that has Alicia captured in the game over sequence? It looks different than the Demon Lord, whose overworld sprite is far more gargoyle-y.
 * Did you even meet Odio in the final chapter, he looks exactly like the shadowy figure in the game over in the Medieval Chapter. That is Odio's true form. Straybow transformed when Orsted was killed in battle in that scenario and the result from the transformation warped Straybow's mind further than he could comprehend, completely obliterating his consciousness. Odio probably thought Orsted was a far better host to inhabit and pitted both of them against each other, in other words, Odio placed a fragment of his own consciousness into Orsted and another into Straybow.

Oersted/Odio is The Operator/Slenderman
Just listen to that static sound during his chapter, especially when he finds Alicia.