Unlock Characters
Dan - Beat Story Mode on hard difficulty.
Lilith - Beat Story Mode on any difficulty.
Moritz - Beat Story Mode on any difficulty.
Shouki - Beat Story Mode on hard difficulty.
Easy Way to Unlock All Characters
Finish the game on easy but do not overwrite your save. By finishing on easy you would have unlocked two of the characters. After that, go to the game settings option and switch the game difficulty to hard and then go to story mode but select Continue instead of New Game. It will simply play the ending and after the ending credits, you will unlock the last two characters without having to replay the entire Story Mode on hard.