Blade take place some months after Wind, but on the same continent than Tears. (Where Wind take place on another continent)
As in Shining Tears X Wind, Soma stayed in Endias with Mao, Ryuna, Lazarus, Elwing and Blanc Neige as a new captain of the weissritter.
In the mobile SRPG game Shining Wind X(exclusive to japan), the Weissritter receided an ask from Keiner fought against the emergence of the cult of Dark Dragon the help of Arthur, Maple,, Cheiron, Elmina and most of the non human character from Tears and Wind (except Volg).
If Shining Heart story is hard to link to other Shining, it's because the game was not made to be part of the Shining licence. the devellopper said in an interview, that he was unable to found an editor for his game. Sega was the only editor interested by the game but asked to relate the game to Shining licence to help the sales(so the design and some name and character were changed to make somes link)