I don't think you can do anything wrong at all (as in being soft-, or even hard-locked). That's simply not how this game is designed: it's all on rails, with a few branches that are also running on rails, and as a player you can roam and gain experience/items as you like, or need, and when you're ready, you're ready, so you can proceed with some branch, and likely unlock some more territory/places to visit. Rinse and repeat. You can't maneuver yourself into a "bad end" situation (e.g. as is easily possible in Sengoku Rance, hell, there's exactly a bad end (without the quotes) route in there too, haha.).
So, just enjoy the ride, and make sure to talk to and assault every single thing. All the time (until the text turns red, indicating you've already seen this event).
Speaking of rails. I absolutely adore the Julia/Aten "branch" (or rather running gag; quite similar to another favorite of mine: Mi Lordling). Hannysoft are total masters of super slow and funny character introductions (cmp. the whole hanny/nozomi subplot in Sengoku). I really love the way they tell their stories by this formula (main-branch and subplots out of which some just die off/end, while others, all of a sudden, play an important role and swap over to the main branch).
Rance storytelling is something else.