Yeah that full gallery unlock doesn't unlock everything it's a part of the secret scene from the challenge mode.
There are 3 extra scenes. 2 are variations of room 6 which needs key 6. The variation is if you input a name at the start of the game or not. In order to unlock the challenge mode on main menu you need to beat the entire game with no name input and one that you've input a name which will result in dif boss battles in room 6.
After that you run to the ending area for either of the two endings. After that you follow the instructions for the "gallery unlock". You type "may i sit here" on the main menu then a jap keyboard will appear where you use it to type in "むまのどれい". Select と then ゞ to get ど.
After that you will unlock a gauntlet at the bottom of the main menu which was "?????". It has all the bosses you fought PLUS a hidden one that can only be accessed if you beat all the bosses in a row. You heal after each boss but lose to one and you have to restart.
I found the save edits in registry and looked at values and managed to match some to mine in game. So I had 20+ less turns for main game via stats , so it was a lot easier battling the RNG of some battles. But for the challenge mode no save exists nor can I see any temp registry entries made for it. So I can't edit my values to make it easier. It's extremely hard I haven't been able to get to last boss, I've seen one video of someone getting to it but they censored it.
Here is a guide for the entire game and some vids helping in most areas. The vids stop at a certain point but you can use the written guide to make sense of the stuff you do after. No annoying puzzles after the vids so it's easy.
I found no name playthrough is harder, you get more duo succubus battles and even regular patrol enemies get scenes. Lots of hidden stuff
Using all these resources below will allow you to complete everything in game, Gl in challenge mode.
Step by step Written guide ( use auto translate for your browser) :
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Part 1 Vid:
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Part 2 Vid:
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Boss challenge "censored":
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Registry location if you wanna try editing your save ( USE AT OWN RISK ) : Computer\HKEY_CURRENT_USER\Software\Rin\WithTheNightMare
My process was playing a bit of the start seeing what stats went up then exiting looking at my save ( depending on save slot it will be Flag1,2,3 etc to 8. Some of the variables in those sections are your stats. You can change one that matches your current stats open game and see if it worked , if not change back to default value repeat. The reduced turns each time you hit the right dialogue helps heaps and you beat bosses quickly. Look at the written guide to see what stats max out at like 3 or 6 and what can be stacked to an unlimited amount , like turns it takes to get to new day stat.
Might try the challenge a bit more and see if I can unlock last hidden scene, better be good with all that effort

. If anyone finds values in registry to edit the default character used for the challenge let me know

. Hope all this info helps enjoy!