I don't know much about Persona 1 and 2. I only know about the basic principle of the two games.But honestly, I need to find out what the Persona 1 MC did during the events of P2 and why he left after P1, since he shows up at the end of Eternal Punishment (well, it's ASSUMED it's him), and the game ends before he says anything. There are a few other things like this that I'd like to see wrapped up.
Now that I've given it some thought, Persona 3 and 4 are good set-ups for the return of Nyarlathotep. I'm still not too sure about that being incorporated into 5, but I like the idea a little more now.
The problem is that the stories of Persona 3 and 4 were so great that we've simply lost sight of the bigger picture. The war between Philemon and Nyarlathotep from which the entire Persona series originated.