I just don't see it. What, now every guy who wants to buy Underrail 2 would need a character of level 25 to play? Game already is hard enough on casuals, if they need to figure out whole build before playing, most of them would just drop it. Any separate title should be able to be played separately, so any guy who picks up a second part could play it witout needing to have a high level character ready.
Of course, there is always an option of just "importing" character from previous game, but that would mean playing 25 lvl character in game that would be designed to be played from lvl 1. No challenge.
What i WOULD like is to have an option of giving a save with finished game so that my choices in first game would affect world in second. The deeper it affects, the better.