There have always been cracks in reality, gaps between worlds where things can slip from one to another. Lia and Azarol both know it; they've both seen what can happen when you open a doorway to the Outside.

Most of the time, unless you open a door on purpose, nothing too dangerous comes through those cracks, but sometimes.. sometimes something does. And it is just possible that Mephistos, the Red Dragon King is not the most dangerous thing to slide into the universe recently - even if he is trying to destroy the world (or take it over). Which no one seems to be quite certain of, anyway.

Still, stopping him is important. Definitely. Almost as important as surviving, and not being consumed by eldritch horrors from outside the universe. It's a quest for the ages. Even if the way to Stop the Red Dragon might involve giving his elder brother the power to take over the world instead.