07thExpansion page is updated with some designs of characters, you can see some of them there!!
For the work that ties the three stories, maybe they (the stories) get tyed by themselves, having more or less a clear connection while you read them but that is really difficult. Maybe something similitar to metaworld in Umineko but I don’t know, there are a lot of ways to tie the stories. And also the part you mentioned of “three worlds becoming one” can also be a hint of a fourth story? Or maybe the end of the third one unites them all, random guesses time