Knights in the Nightmare is the third entry in the Dept. Heaven series, although in-universe it’s chronologically second and IRL it’s titled ‘IV’ because who knows (wiki does, don’t tell me about how everyone knows I too know).
KitN (kitten?) is different from the previous two games, Riviera and Yggdra Union, in a few important ways. First, it’s a much more conceptual game, with the story told so far out of of chronological order there’s no way to simply explain it. Second, it’s nihilistic as hell, where the other two were a bit more nuanced and had more a ‘people are flawed but will overcome’ kind of stance. I don’t think it’s grimdark or even unrealistic, but it’s very bleak, and as a result (I thought) philosophically weaker. It’s also neither turn-based like Riviera or a tRPG like Yggdra, but something else entirely unlike anything I’ve ever seen before.
I still really liked it overall, but unlike the other two it’s not something I’d rec generally for people, or even for people who like jRPGs. You really will get the most out of it if you’re specifically looking for a kind of out-there experience.
Spoilers inside; ye be warned.