New skills? It may be a situation where you've unlocked one of his 'transformations' that allows you to select which version to use during the NG+ feature of Fixed Bonus. That allows you to select certain states for characters. A prime example for Loki would be the Hved changes. Get the value high enough and you can actually use the Hved instead of Loki from the Chaos route in Law. It also lets you set what state the goddesses are in via what you've unlocked (good, evil, mad) that can change based on what you do in the story (make good go evil and evil go mad) and the state of the sisters. This also prevents them from vanishing during a story run. Which I often found to be annoying.
If I recall you always start out as the Successful Avenger if you've carried over save data. The rest are in Fixed Bonus, along with Berserk Mode selection.