It is confusing, but I think there are some hints you can follow if you want. Keep in mind I have a very active imagination and I might be creating connections from tiny clues that really aren't there. Anyway, this is what I've got so far:
First, the main trope is you are visiting at least two different timelines/worlds. It's probably not really two worlds, because it appears the 'fantasy world' is meant to be in the deep past of the 'real world' You probably got that. What you might miss is that some of the characters in the 'real world' ARE people from the 'fantasy world,' and they know themselves to be. Some other people (if I am intuiting this correctly) are ALSO people from the fantasy world, but are like reborn or reincarnated and DO NOT know themselves to be.
I think the author wants you to be in a position of not being sure who is who all the time. But the VN opens with that 'demon' who can change her shape and colors, even gets some nice angel wings. You see that lady again in Selene's house. Is it Selene herself? I think probably, but I don't think it's confirmed. I think this is possibly one of the major mysteries of the VN. Selene is obviously a supernatural of some kind, but maybe not that demon winged woman we saw. Even if she is, is she the Goddess of Pleasure as that winged woman proclaims herself to be at the beginning? If so, is she then Mara from the fantasy world, who also appears to be a goddes of pleasure? That was my first guess, but some things pointed against it. 1. Mara didn't appear to care that much about what was going on around her. 2. Mara is a definitely a goddess. Selene seems to be more connected to the story than Mara had seemed to be in the past, and she seems to be more confused, less powerful than you would expect from a goddess. (Note that there is another 'blue lady' in the VN, though she never sprouts any wings, and is a mother figure to the Rakshaasa siblings who had to share a body for a while.. where does she fit into this? I have no effin' idea! But she cannot be Mara, as they are in the same scene, and opposed to one another. Selene may be this other blue lady, but I'm leaning against that right now.)
Anyway, I think one of the major mysteries we're meant to solve is WHO IS SELENE? Is she MARA? If she isn't, then who is she? (And then, where is Mara in the story, because she has to be there somewhere..)
Confusing? Yes! But if that's the author's intention, then we simply have to wait and watch for more clues.
Now our main character, EVE, shows up all over the place, notably in that one dream sequence of Selene. We can presume that our 'real world' Eve is a character from the 'fantasy world' but it is obvious that she does not know herself to be. Selene does something to the 'real world' Eve that seems to increase her allure to others. Then she gets her a job at the school, and is obviously very interested in her. I think the mystery we are meant to consider is, who is our 'real world' Eve, really? IS she the former Eve that Selene loved? Or has Selene recreated her because she needs/wants something?
I don't think we know yet.
From here, I am sure you have seen how the author has implied the 'anti demon' church people are zealous idiots, and that the demons are sometimes not the bad guys. If you are like me, you probably feel a little more sympathetic to the demons, but they do some bad stuff too so.. yeah, not sure which side to come down on yet. Maybe neither.
Where the VN ends right now, sure it's a mess. You really can't be sure of anything. But there are clues, probably a lot I didn't even pick up on. The main plot in both 'worlds' is a struggle for control between two factions. I think we are meant to identify who is who from the 'fantasy world' to the 'real world' and this will help us to solve the mystery of the VN.
