Well a new game+ would wipe relationships, keep inventory/stats, and put you back right after the tutorial. Either keeping the difficulty of the last run or an option to change it.
A clear game flag in a save would mark it as ready to be carried over to the sequel. A flag that should be removed for new game+ until they reach a point when it makes sense.
Problem with that is that it would be redundant as in the sequel you will have the option to start a new game with one of the main routes (Hestia, Eina, and so on), only those marked with a * are the ones that can be only imported.
I'd assume harem would be one of the most popular ones as that'd mean more units at the beginning of the sequel (Which will have a Final Fantasy Tactics style of gameplay).
Also, that would mean that you could go over level 3 which would effectively break the game.
There will be a proper new game + in the sequel though, but that's only because I am positive that the sequel will be the last one which will cover the rest of the source material.
Ideally, Danmachi will also reach its ending by the time I am done with the sequel, otherwise I'll add my own custom ending as I did with Overlord H... Funnily enough, I had aleady written it for this game, but guess It'll still be a while before I can use it
For main girls there is VN, story mode. Don't worry about the dungeon and blitz through. Don't know if there are any scenes with her that are exclusive to normal or hard play.
Normal and Hard are the same, no content is locked there. That would be mean.
The hard mode is only meant for those who love grinding and want a slight challenge, they also get a +50 bonus each level up and a couple of other minor thingies.
The only Hestia CG locked behind Normal and Hard is the one where you can invite her to dinner (it's SFW).