I have heard about Nya being the villains of the later Persona games but I don't think that's the case if only because of real world reasons. The early Persona stuff is old and most fans don't know and don't care about it. To really involve the characters of the older games in the new ones would alienate a lot of people, especially fans in the West who, from what I know, are actually the majority of the people buying Persona games.

Also Nyx was an alien who predates mankind.

Also I played the first 20 minutes or so of Eternal Punishment just to see what was up.

So everything seems nice and familiar so far. Except..Professor Saeko is now Ms. Smith? Eh?

Also Maya has been promoted to main character which apparently entails having most of her dialogue removed. This will be kind of interesting and different seeing as I had a whole game of a very fleshed out character. I feel like I should try and replicate that. Then again, that is a Maya-Who-Never-Was now.... Hm.

Also I can't inspect the janitor's office to find ropes and candles and then muse about their...."uses."

Also on the topic of Yukino being happier, I think most people are better off in this new world 'cuz less death and destruction, at least at present.

As for the decision with her, the scene is very sad. Yukino is heartbroken, the music is depressing and even Tatsuya's face when you make the decision shows how weary and sad he is himself. I just couldn't look at that fact and take everything else happening into account and tell her "SUCK IT UP!" That's how I read that line.

The Persona games have a lot of moral judgments and they will happily choke you on all of them. SMT isn't too different from what I know. At least Nocturne was pretty even-handed and didn't really try to push anything on you. While TDE was preferred, it's also easily ignored.