Nothing too major unlocks at the start of this episode, except for one Quest that when completed will unlock the Celestial Host class.
You can find the free chests at the following locations:
- In between the Skills NPC and Item Shop
- Next to the Quest Shop
- On a table in the big open area by the Chest Shop
Some of the maps in this area will have the Bombing Run Netherworld Effect active, which will randomly damage some of your characters for a small amount. Remember that whenever you get the Bonus Gauge to 1, you can summon your own Netherworld (it doesn't matter if it has an effect equipped or not) to get rid of it by choosing the Summon option on the menu that appears when you press Triangle.