Regarding the 3 Alices and the 3 nightmares, I think there are 3 Great Ones who play 3 Alices and at the same time they also play 3 nightmares.
In Winterbell, in the house on the far left there is a stuffed bear on the bed. Choosing "Peek inside" will trigger a cutscene between little sister Alice and Mabel:
"The one who was older sister Alice disappeared some 'cycles' ago. Some other Great Ones who were invited to this dream world are gone too. ...Do you know anything about it?"
"......Wear the role, and even your soul will sink into the actor until you forget what you truly are."
Regardless of player choice, we always see 3 Alice and 3 nightmares in a new cycle but older sister Alice has completely disappeared. So I think 3 Alice and 3 nightmares are just roles, what happens to the roles doesn't affect the Great Ones. If a role is killed, they just change to another role.
Role-playing also affects the Great Ones' thoughts, actions, and perceptions. This explains the action of the 3 nightmares in routes F and G.