I did a little research. Unfortunately, my early volumes of the Dazzle manga are currently packed away, but I did find out a few things on the net that refreshed my memory.
Spoiler for ep 1 & manga vol 1:
The ghost story that makes up the bulk of episode 1 is actually the third adventure Rahzel and Alzeid have together once they team up. Like I said earlier, their team up is more detailed in the manga. I suspect that we'll see more of their initial meeting in future flashbacks. Call it a hunch based on spoiler knowledge.
After Rahzel and Alzeid decide to travel together, volume 1 of the manga details 3 adventures they have with just the two of them. The last of these is the ghost story from episode 1. The previous 2 adventures are very episodic and don't deal with the overarching story. But they did serve to establish and cement Rahzel and Alzeid's tentative friendship. It's a shame those were skipped. They were probably cut for time.
Baroqueheat is not introduced in the manga until the story after the ghost story. I'm going to guess that episode 2 is a flashback story that explains how Baroqueheat joined the duo.
That final scene in episode 1 of Rahzel grabbing Alzeid's and Baroqueheat's hands is straight out of the manga, by the way. Volume 2 of the manga, that is; not volume 1, and definitely not part of the ghost story.