For those just jumping into it, this game is full of progression traps like these. If you want all collectables/girls/scenes be sure to follow the
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or you'll miss a significant chunk of them (there's
a lot).
The game has this nasty habit of not letting you replay story missions, so unless you already know what to do, any missed rewards are lost forever. You can, technically, edit most missed rewards in by hacking; but that has its own set of issues.
Edit: If you're going for a full run, be sure to keep a character with Steal (Renka should have it) ready for specific missions. Some unique items like Baldo's Sword and Magic Sword Falnata can only be stolen from certain story enemies (and if you don't, they're also gone forever).
Also goes without saying but if you see a new enemy, capture it. Chances are it won't reappear later. Get used to Mercy Strike > Seal, you'll be doing it a lot. Nono can handle Mercy Strike at the beginning, but you'll eventually find a tome to teach it to Lana.