Technically, there is a connection. It isn't much of one, but if you slay certain demons over the course of the story, and go for a certain ending, Black Frost will show up, speaking about the power of love.
"Freedom... It can corrupt, yes, but it can also give people strong wills. The world is filled with endless possibility. It's awful, but also beautiful." Al Saiduq, Shin Megami Tensei, Devil Survivor 2.