There are things still bugging me after i beat the game:
-The Moving tree placed below the first fox girl (the one is "guarded" by an enemy)
-The dog we (might) saved in the forest.
-The "Zeus" smith who wanted to make for our MC a weapon from "Amazing Ore" but i can't find the weapon he needs.
-The purpose of the shiny paths at Road.
-The pubs (except for the first one).
-Two girls and the giant fly.
-The dark thingy which escaped after we beated the motiff.
-Lots of houses in the City which can be entered but were deserted.
-The succubus mark of our companion in Emergency.
-There was hint about slime take form as human but the weird thing in Badland is the closest but still far from it.
-The Higher Demon is just as surprised as we are when we know the truth.
Hopefully I can answer some of your doubts.
-No idea yet, I came across it on my first playthrough and it has been bugging me ever since.
-The dog can be saved and become a companion if:
-Save her from the first red slime. Go sleep in the inn.
-Go meet her in a little secret den on the top-right side of the map. Go sleep in the inn.
-Meet her in the top left side of the map, in a little cubby hole next to where the Red Slime Heth (boss) appears. Give her a medicinal herb or potion. She becomes a companion at this stage. Do not progress beyond meeting Goggles up the mountain, otherwise, she will have been eaten by the Red Slime Heth (boss).
-The weapon he needs is Metal Bat, you can purchase it in the City or from the Travelling Merchant later in the story.
-After beating the game, you can go into those paths to go into the 'Illusory Pavillion'. There is nothing there except for assets used by the creator and/or things that might show up later if he updates it. No purpose currently.
-No idea, the one in Downtown is used to learn about the Bandit Hideout Raid but the City one has no purpose whatsoever that has been found yet. It also bugged me as the Barman has his own art.
-You can have a scene with both girls before defeating the Pontiff if you sneak into the Church at night after the ambush on the City inn. Talk to one of the NPCs in the Church and go through the top door disguised. Aside from that, the giant fly is supposed to be the previous Pontiff, and any interaction with the two girls after the Pontiff fight I have been trying to theory-craft to shit but so far nothing. Mayyybe in a future update, if Takamakuran wants to do that.
-That is the bonus final boss Dark Slime. You can fight it in the sewers after beating the Pontiff and the Bandit Boss a second time. It is a very tough fight so be prepared.
-Possible future content, nothing in them yet.
-Heavily hinted by Devil that she is in love with the player, and that mark is a physical maniphestation of that fact.
-What weird thing in Badland? Heelin takes a very human-ish form after beating the Mercenary Leader's Quest. You can have a scene with Heelin when you meet her in the area you slept at in the tent for the first time.
-Devils don't know about what the Church does, they just get created by them programmed to 'harm' humans, and then thrown out into the wild.