This has to be one of the best "the protagonist was the child of prophecy" reveals I've seen. Usually those reveals are obvious from early on because the protagonists have to be super special, and Yume has always obviously been incredibly unique with her power to smell danger from the gray.
But throwing in their classmate as a red herring made this genuinely surprising. Heck, even the nature of the series itself kept it from being super obvious. I figured Yume had some heavy connection to the gray, but so do many other characters, and they seem much more deeply involved than her.
Details like this are why I'll really miss this series.