The third season doesn't have a particular story behind everything (like "Valkyrie Ghost" in the second season). It just tells 6 stories about the life of Kazuto & Co. with some additions: Raine and Chorus get a house on earth, the last three Valhalla princesses each get an episode, and in the last episode Kazuto and Valkyrie, who in the same episode managed to stay adult, try to marry.