I have figured out the Bear The Nightmare and Wake Up From The Dream stuff.

You will not like it, so brace yourself.

The events of Kuro/Kai are not real. Because they are too bizarre and annoying even for Modern Falcom.

They are a distorted version of what happens in reality, which involves Roy building a nuclear arsenal and missiles (perhaps for rather innocent reasons of defense) which eventually lead to the REALITY Risette is from.

Van is made to experience one of Campanella’s illusions via his demonic core, and the point of that is to access the Sept-Terrion of Time which exists in an alternate plane similar to Phantasma.

This is also the reason why some words are obscured. Van would wake up if he knew (and Grendel Shin is the key back) but he is on a very low level aware of it which is mirrored in the references to the lie.

The world is currently not cyclic, but the Grandmaster wants to achieve exactly that (which is why Ouroboros is the name and icon of her group) and needs the Sept-Terrions of Time and Space for that end.

There is no other reason why one treasure would dominate her organization that much, given that the Grandmaster has the power to beat Sept-Terrions.

The point of creating the loop is the save the souls of all (Orpheus) from the future Risette is from.

It's also possible that Kuro/Kai exists entirely in Märchen Garten, because Van has suggested the depths of it provide an hint to Mare's origin. And that is totally not that she's Yume from a previous loop.