Skyblade - answering speculation is a bit easier than doing a full on analysis of all the social links between three games. Onto other things...
I don't think it would be terribly difficult to re-introduce either of them. (SPOILER)I mean Philemon usually makes about 2 appearances max in all three titles he shows up in anyway. Technically Nylarathotep and the Shadows are synonymous in origin as well. So I don't think it would too terribly difficult unless they were going to try to connect all 4 games together, then it might get a bit complicated.
It will be interesting to see how they write in the Shadow Operatives and Investigation Team into the future titles. I'm also curious to know if the fact the Investigation Teams Ultimate Personas are not canon either(Only Yu has his Ultimate Persona in P4Arena) or if this will become a future retcon as well.
I did think of another thing I would like to see, more gameplay benefits from the social link choices, specifically when you choose a sport team. Think of it like this. Your character chooses to join the Kendo club, so this allows them to use the Katana weapons, but they also get special benefits or items for using the weapon as well like adding strength or Agility bonuses when equipped with the weapon or giving them a higher critical hit rate as the sub-ability for their weapon. Maybe choose to make them join an archery club and get similar benefits from using a bow. Stuff like that. Maybe even find ways to give bonuses and more customization options to your other party members like the new Bike Riding Date mechanic in Persona 4 Golden.
I also want them to finally put in a music player into the game. Both Persona 2 entries had one, and P3 even has a music store that can't be used for anything and got my hopes up. I want to buy CDs again and listen to them in my characters bedroom.