Carnival Phantasm/WMG

Neco Arc Chaos and Neco Arc Destiny have a sexual relationship, unbeknownst to the other Neco spirits.
This is hinted at in Episode 6. Neco Arc muses on whether the Neco spirits are siblings since they all have the same face. Some ominous music comes up, making both Neco Arc and Neco Arc Babbles very nervous, although Neco Arc Chaos and Neco Arc Destiny don't show any visible reaction. But the implication is that if that were so, something would be very wrong ...

The other Neco Arcs are not new characters

 * Neco Arc Destiny is Ichiko, Arihiko's sister. Working as a Neco Arc in Ahnenerbe is, in fact, her mysterious job.
 * Babbles is Len. Because once a cat has been created, any universe would conspire to make it even more of a cat.
 * Evolution is not a Neco Arc at all; he's just someone (possibly Mikiya from Kara no Kyoukai) cosplaying as a cat.

Neco Arc is Avenger
Think about it. This solves EVERYTHING.
 * Then explain why we see him sitting next to Roa outside the party in the final episode in the final scene while Neko Arc herself is clearly inside, would you?

Episode 6 ABSOLUTELY PROVES that Zouken does not exist outside the Heaven's Feel route.
This is obviously canon. In this episode, Zouken is conspicuously absent, but most importantly, we see Rider's status screen. Her name isn't filled in and Shinji is considered her master, which is true all the way through to the Heaven's Feel route. This proves that we're not in that route, and Zouken not appearing means he doesn't exist anymore. He's not forgotten - he's there in the flashback - but he dies between then and the non-HF routes.
 * Oh, he appears in episode 8, but so does Saber Alter. The latter proves beyond possible doubt that this is the Heaven's Feel route, justifying Zouken's presence.
 * For all we know, Zouken doesn't leave the basement if he doesn't have to, as he's kinda old. And it's very likely that his inability to participate in the 5th Heaven's Feel in other routes was caused by him not succeeding at summoning True Assassin (which, along with Sakura not willing to fight, handicapped him greatly) and Ilyasviel always being closer than Sakura to defeated Servants (which meant Sakura wouldn't become the grail, and that was his ultimate purpose in the ritual [or so he thought]). And Taiga does mention in the other routes that she was talking with Sakura's grandfather, so he does exist there.

Phantasmoon is Raging Against the Heavens
Her enemies, Card-Carrying Villain Akiha aside, tend to be anthropomorphic mushrooms. Say, just like the Author Avatar of universe creator Kinoko Nasu...

Arcueid used her Marble Phantasm in the volleyball game
Just to screw with Ciel. "Ciel: "You're doing this on purpose, aren't you!?"
 * She uses her ultimate ability, the power to alter probability, just to troll Ciel? That's actually quite plausible.
 * This is the same girl who repeatedly smacked Ciel in the face with the ball, despite being on the same team, and flat out admitted that she was doing that on purpose a couple of minutes ago.

Arcueid: "Can you tell?"

Ciel: "Why you...""

Everything in Carnival Phantasm is all part of Arcueid's dreams after going to back to sleep after her true end in Tsukihime.
obligatory Grimdark WMG.
 * Nah, not grimdark enough...they're Sakura from Heaven's Feel, torturing Lancer after absorbing him.

Ahnenerbe is a TARDIS, and the cats are all Time Lords.

 * Somebody had to say it.