Interesting vid that dropped into my recommendations. Apparently the content in NG+ of Cold Steel 2 plays an important role in the CS3 storyline.
Shouldn't go without saying, but some pretty big spoilers for certain characters.
Granted I know next to nothing for CS3's story since I don't want to spoil it more than I have listening to the music, but I really hope this is just a hellishly big Easter egg and not something they expect you to do.