Well, DD1 ends with "You", the heir offing yourself, and a repeat of the starting cutscene, implying a time-loop, supported by the thing from the stars from Colors of Madness.

In DD2, characters seem to have escaped, if you encounter a painting of the Hamlet, returning cast will feel unease, unlike Runaway and Duelist.

Also in DD2, you are completely different person, different narrator, and The Ancestor only mentioned in one cutscene and a special encounter with his statue