As usual this is a bit hard to understand, but i suppose that even though i know about Melty Blood and Fate in general well, not knowing a thing about Grand Order is a big minus.
@Abetillo Basically, Lev is a demon who was posing as a scientist at Chaldea, and his sabotage is responsible for screwing everything up at the start of the game. He dies relatively early in the story as one of the first big bads, which it's sort of surprising to see him here, since the way he is acting seems like this already all played out. But knowing that doesn't make it any easier to understand what's going on with him and Olga here. It's probably worth mentioning that Sion has showed up in F/GO as a character in the most recent japanese content, and Zepia/Night of Wallachia was referenced once in an event. So it's still possible this could directly tie into F/GO, although it seems just like a bunch of reference fanservice right now.
A correction on Lev Flauros. He's one of the 72 Demon God Pillars Solomon had under his rule, and after certain events that will be explained in the current patch of FGO (USA) (Tomorrow actually), he incarnated (was born as) himself as the son of certain magicians in order to set in motion the plan that causes mankind's incineration throughout the ages. He befriended Dr. Roman during their university years and later joined Chaldea, developed the servant summoning system, as well as the theory behind demi-servants, all in order to set the plan into motion. He's later revealed to the player as the main perpetrator behind Chaldea's destruction, while also being but a tiny part of the whole mess they're thrown into. The player fight him during one of the singularities and is believed to be defeated, only to realise later on he simply escaped, and we fight him again during the final singularity: Solomon, in the throne of time, together with the remaining 71 Demon Gods. In the end it is not clear if Flauros is defeated (we only know for sure that Barbatos gets a serious beating), however we do know that Demon Gods can travel through space-time and we actually meet escapees later on.
His relationship with Olgamarie is a strange one, he's her mentor, teacher, as well as his moral support, but then sends her into Chaldeas (Which is the mechanism to observe singularities through mankind's history), and, as explain in the game and the OVA, it's akin to a black hole of sorts, so the instant she touches it, she gets stuck in the dimensions of space-time that Chaldeas has a connection to (or it's theorised to do that anyway). As of now, no one knows what the exact reason is that Lev Flauros does what he does to Olgamarie, we only know they, the Demon Gods, want to incinerate humanity because of some corruption caused by time on Solomon's last order to them.
From what I can understand, Lev escaped the
Throne of Time
's last battle between Gudako and
Goetia - the King of Demon Gods (and actually an amalgamation of the 72 Demon God Pillars)
, and somehow ended where we see him here. What he's trying to do is get back to the
Throne
, since the
rings of solomon are still there
and would allow him to
gain control over the other demon gods
, or that's what I think he's attempting anyway. The whole mess with Sion is loosely related to
Chaldea's "prototype"
introduced in Japan's latest patch, and Rani probably comes from the Extra CCC "timeline" (it's another future, kinda). Walachia popping out is kind of strange, and does seem like some fanservice element, but Fate has never really done fanservice just because, so there's probably a hidden reason why he appeared (I suspect it's because Sion is about to get erased, and Walachia actually never died, so he popped out of wherever he is hiding within Sion to warn her of the danger, since he doens't really want to "disappear").
In the end though, everything is very cryptic, and requires plenty of knowledge from many paralel stories. For all we know, the Nekoarcs are supposed to be entities that live "in the 4th wall", so everything here will probably end up as a big fat joke, or maybe not.
Note: I can and probably am wrong in many points, the Nasuverse is very complex and requires a PHD in order to understand it.