Yep, that they do. So at the moment there's this to add.

• 60 Face Challenges unlock Sanzu difficulty, and all challenges completed on Sanzu are additionally marked to show how badass you are;
• The above also unlocks Special Styles for purchase - presets with those character-specific inscriptions from 4S (finally, I can have my rocket Magnum Magoichi back);
• Sanzu itself does not seem to be that different from other difficulties with the exception of the Spirit Down mechanic and the usual health/damage tweaks to enemies (unlike 4S, playable officers as NPCs can do Basara Arts even on Normal);
• Can also confirm that lost Spirit orbs on Sanzu/Trials are returned depending on the number of hits (i.e. not damage) you land during a ~5-10 second timeframe - the 3 of them are restored in succession, not together, and, I'd say, 30 odd hits get all three back (sucks for the slow 1-2 hitters);
• Each Sanada Trial is a checkpoint, allowing to start from any already completed fight;
• However, the 60th one is not, and starting from 59th will end the Trials after the fight, which, apparently, means that golden skins require one to actually go through all 60 in one go (the horror);
• Sumeragi's pre-order and magazine-exclusive weapon skins are unlockable - they don't change the element like before, but Tanuki gloves for Ieyasu are always a nice touch;
• Playable credit sequence can be skipped (which also raises the question of whether or not the Prologue should be played, considering it's a narrated autoscroller with God Mode on).

• Nice, always wanted a few of those weapon skins. Would've like that HOT LIMIT costume to go with the Mikawadanuki, but I guess the Gakuen BASARA costume will do.
• The enemy generals using their Basara Arts is tied to them being on their last life bar, right? Still, better than locking them to the highest difficulty...
• Sounds like they didn't quite think things through for the slower hitters. Unless I'm seriously missing something about them (this is very possible because I suck with Power types).
• I'd time the Sanada Trials as a single segment run. Don't see much of a point in having checkpoints, and that little bit of starting at 59 and stopping right after.
• Haven't seen the very beginning nor the credits so no comment on that... Maybe I'll have something to say once it gets in.

That costume may end up being paid DLC, like everything TMR. ...Waidaminute, I went with the exact same combo in Ieyasu's side story - Tanuki gloves with the school costume.

Yeah, last life. I haven't paid that much attention, but I think it also only applies to those designated boss characters with 3 lives.

The Spirit Back thing is very noticeable with Magoichi. In a duel, having the magnum out will lose the orbs due to its slow rate of fire, but switch to machine gun and bam! all three back in less than a second. I guess for the less spammy cast it boils down to liberal application of Parries and Steps (since both of those give Spirit).

EDIT: a couple more mechanical observations

• There is a delay between getting hit and Spirit leaving the character. From what I can tell (and I'm not 100% sure about this one), the Spirit won't go down any further until the orbs are out, but they are lost immediately if you get hit again while they're out.
• You don't lose Spirit while under the effects of the Spirit Orb (the kind you get from fancy boxes, Bushindenshin-dama... who even comes up with these :V).
• You can get Spirit back by juggling corpses.