The OVA is kind of confusing without having watched the rest of the series. Chronologically it's implied to occur after the main series. It is similar to parallax dream theory I wrote in 2006 and appeals to the Japanese hard-boiled wonderland type of fiction. Essentially, the mental or metaphysical is a plane that connects all realities, and dreams are when you tap into the experiences of your self from alternate worlds. In this episode, though Eiji has cleared his world of Orders, other worlds exist where it still works. Certain encounters trigger crossover memories and feelings of deja vu. There's no real plot to this episode otherthan to illustrate this point. It is not necessary to watch but does add some complexity to the overall series.