The title of this game says it all,
Chronicles of Hell and Heaven. If you understand that, you don't even need to ask or rant. There are reasons why it has to be multiple chapters featuring different protagonists and
Kazuki-chan knows best. My best guess is that these chapters serves as extended prologue or backstory for the protagonists because towards then end of the story these protagonists will come together, as a team or fight against each other, I don't know but something like that.
If you read Lord of the Rings novel ( or watch the movies ), the 9 companions just assembled on a mission to destroy the one ring but the readers were never told who they are, what their stories, well except for Frodo. What if you have a story for Aragorn, a story for Legolas, a story for Gimli, a story for Gandalf etc? There are many readers who wants that but they never got it. J.R.R. Tolkien decided not to tell their stories because he wanted the story to focus on the main protagonist, Frodo ( but no one really likes Frodo to be honest
).