Puyo Puyo/WMG

Sega will eventually go back to Madou-era elements.
Though Sega tries, they don't seem to have enough genius to continue the storyline. My guesses are that they might make a more RPG-styled game(which would work better than before), or maybe experiment with the story.

The three worlds (Madou-era, Fever-era, and 7-era) are nothing of the sort.
They're timeshifted versions of the same world. Arle and co aren't traveling between dimensions, they're traveling through time. And they don't realize it because there's just enough separation that there are no obvious connections left aside from Puyo.
 * That would explain why Arle couldn't change dimensions. And since everyone who went to the Fever-era was playing Puyo, which was magic in the Madou-era, maybe they did a chain that sent them forward into time!

Strange Klug's Not So Harmless.
The demon might not be revealing everything. He's gotta be over a thousand years old, and I believe the Ruin stage where he appears in has something to do with it. However, in Fever 2, he was trying to reanimate/remake his body again. It could be that Ayashii was a demon from long ago, split into two and sealed away because he tried, and nearly scuceeded in?, destorying the world. He's much more serious than Ekoro, but we don't know what would've happened if he got his body back.