First clue

Exploration Stage: Hall of Departure
From: Huntress
Description: I can't have demons from other worlds messing up my town because one mischievous child is missing. Here, take this device. It's designed to detect demonic energy. Let's search the city for the footprints of the demon child.
Completed: You found the footprints of the devil's children! I knew you would find them. Let's follow the footprints. These... seem to lead to the mistress's mansion. I didn't see that coming! Maybe the demon child didn't disappear of its own accord.