Compared to the last few weeks, this episode isn't too bad, considering it's actually straight from one of the side stories from "Volume S" of the novel, which contains most of the side stories written by series author Takahashi Yashiro himself.
Margery's past is definitely interesting, though we only get a glimpse of her ordeal with "Silver", which is only shown briefly in the beginning.
She probably planned on taking her "revenge" on a group of humans (whatever grievance they have caused her. But "Silver" got them before she could. Technically this means "Silver" has avenged Margery's grievance on her behalf, but Margery is less than pleased to see her pleasure of exacting revenge being brutally taken away from her, hence her continuation of her grudge, this time on "Silver" himself.
Sydonay at this time is still slacking off from his Bal Masque duties, instead working part time as a bodyguard-for-hire for Denizens of different fetishes. It wasn't until he stuck his hand inside Yuji (and the Sydonay x Yuji yaoi joke this inspired in the Shana-tan special) and discovered the Reiji Maigo that he returned to his original post as the "General" of Bal Basque.
That Yuri boy (No! I don't mean he's a "yuri" fanboy, I mean "Yuri" as in his Slavic-sounding name. lol ) who became Flame Haze definitely throws my theory that Crimson Lords only make contracts with people with a large PoE amount out of the window. Oh well, maybe Takahashi has created a plothole for himself.
Though it's still consistent with Crimson Lords seeking out humans who have a grudge with Denizens, this leads to undesirable side-effects like the Flame Haze's lingering human emotions, as seen with Yuri's mood. This is the main reason why Alastor and Wilhelmina raised Shana without her having any grudge against anything.
Finally, an important name being uttered by Wilhelmina -
Pheles - causing Wilhelmina to go on another journey.