Shining Force Central

Shining Hearts take place after Blade.

Hearts' world is Sakuya's inner world projected into the Astral Realm. And more specifically, Sakuya's inner world before she fully awakens.

In other word, inside Hearts' world, the time never progrss beyond the point Sakuya full awakens, nor it exists before Sakuya got sealed in the past.
Sakuya's world has existed for hundreds of years a resting place of souls, but the inside of that world is like a prison of time where it never progress beyond a certain point.

After Blade, Sakuya throws Rick and his girls into her inner world because they need some rest. But whoever enters her inner world will lost their memory, so Rick and co don't remember a thing.

Also, Xero is not an Arbiter of the world like Sakuya (although he tries to act as one). After assimilated with Xeroborus, he has became the incarnation of Chaos. His very existence a lone can lead to the chaos of the world. That is the reason why he choose to stay hands off on a lot of stuff, as things can turn for the worse with him simply just being there.

As for Yukihime, the spirit that appeared in blade is Yukihime, but the on who appeared in Blade is Urayukihime.

We know from Shining blade than Keiner, Diocles and half of the playable character of Wind X died just before the game (and Rouen was transformed into Dylan), so I assume Shining Wind X and maybe Shining Road are important for the full understanding of the story (the story is also related to Tears and Wind as one of the antagonist is Kamushin cousin possededd by the Dark Mask.)