Where's Shiion?
uh...in the game. After she changes at her home when she spends the night shes hard to recognise.
What's a URTV?
An artificially created child with psychic powers like Albedo, Gaignun or Jr. But those three are special URTV's and probably the only surviving ones.
And U-do?
I think U-DO is this higher being or something like that from another dimension. The URTV's were created to destroy U-DO. Its connected to the Zohar some how. Maybe its energy source is the Zohar or something like that.