Since there is a new persona game coming out it's obvious that people want things that are in the past persona games. I honestly don't want nyarlathotep in because I feel that putting him in another persona game would ruin the idea of persona in general.
Nyarlathotep is a good villain but look a the persona universe. It is always plagued by a different unknown force throughout each of the games. In persona 1 pandora tries to erase reality, In persona 3 the personification of death is coming to destroy humanity, and persona 4 izanami is plaguing a town for her own games. Even with philemon in persona 1 & 2 as guides for the player, even though he is seen in a different realm and able to give people the power of personas, he is not omnipotent. He is shown vulnerable and when having to deal with creatures like nyarlathotep. Philemon is not the main cause or end all be all of personas either. as shown in persona 3 you have the latent ability and it is activated by and evoker and in P4 it is activated by facing your true self.
Every enemy they have faced is supposedly omnipotent or powerful in some way. Pandora is able to wipe out reality, Nyarlathotep is able to destroy the earth because of a rumor, Death is able to kill everyone(cause its death), and Izanami is the creator of the world in shintoism mythology. but in the scheme of things they are no powerful than some of the other creatures in the SMT universe.
Nyx is a grunt in SMT
http://megamitensei.wikia.com/wiki/NyxNyarlathotep is a grunt and a boss
http://megamitensei.wikia.com/wiki/NyarlathotepEven Philemon is a persona summon
http://megamitensei.wikia.com/wiki/NodensWhat Philemon and Nyarlathotep keep saying that they reside in humanity, just like other personas. Which leads me to this. Every creature is caused by man or is a part of mankind. They are there to assist or destroy people or persons. Like the individual persona to each an every protagonist there is a persona that is an extension of their will or their emotions manifest or etc. that are created in this world and are an extension or facet of a part of mankind that we must deal with or acknowledge in our daily lives. Nyarlathotep is just one of those that happened to be made manifest in Persona 2 (1 technically).
I hope that they do another creature or demon besides him because he is, ultimately, one of many faces in the persona universes.