@DANDAN_THE_DANDAN
Spoiler on loli, although they sum up her volume in this recent chapter, I think.
The blond loli is Iris, the princess of the country. A villain was planning on using a body-swapping magic to steal her body, then hop onto the crown prince's body. She has a very strong crush on Kazuma, and her role in the kingdom is to marry the hero that defeats the Demon Lord. She was interested in Kazuma, since he is well-known as the person that leads the team that actively hunts Demon Generals, but after getting to know him, she's fallen for him hard.
There's like 12 or 14 novels in the main story, 3 side stories on Dust, around 4 for Megumin, and 1 for Vanir. The anime was supposed to end with Yunyun asking Kazuma to impregnate her, but they cut it out, seeing as how they never had plans for a season 3, and they cut the festival date he was supposed to accompany her on and replaced it with the crystal ball of mutual destruction. That "date" was supposed to be what caused Yunyun to lock in Kazuma as a guy she could always trust, leading to that scenario.
@DANDAN_THE_DANDAN
Yeah, there's a large gap between where the anime didn't get up to and certain volumes like this particular one and the Vanir spin-off. Try Novelupdates under links on the mangadex pages for each series, I guess. You might get redirected two one of two different sites, but they're your safest bet. Can't promise the writing quality will be all that great tho, the series is meant for teens to begin with.