Here are some of the information from LoLK interview
(This is taken from a Chinese website and I translated it, so there may be errors)
1. ZUN thinks the appearance of Yukari in Marisa's ending is the beginning.
2. Lunar Capital is based on Takama-ga-hara(高天原). There are other people like Chang'e and Lord Tsukuyomi, some of them are even greater than Tsukuyomi and there are beings greater than divine spirits. But ZUN has no intention to make those beings appear. (damn, people greater than lord of Lunar Capital)
3. Eirin's status in Lunar Capital is not very high. (one of the founders and sages in Lunar Capital, not very high in status, what kind of people are higher than Eirin)
4. Kishin is stronger than those fairies outside, but she neither can't go nor see what's out there, so she didn't know how strong enemy is.
5. Clownpiece changed her clothes after she saw the flag on the moon.
6. The true power of Urban Legend is not creating something out of nothing, it's rewriting the history. ( i have no idea what this means)
7. The story is just venting. Neither moving to Gensokyo nor invading Lunar Capital is serious (typical Touhou incident once again)
8. If Lunar Capital were moving to Gensokyo seriously, people in Gensokyo would disappeared and they won't even notice it. (how godly is Lunar Ca....oh wait, Lunarians ARE gods)
9. Hecatia is a being beyond Gensokyo and Lunar Capital, of course is greater than Eiki. (4chan power-level-argumen-er intensifies)
10. There are many more stuffs about hell. Eiki is just a judge from an organization created by oni from hell. (plz don't kill me if i translated this sentence wrong) And Reimu's position is not human sided, her job is just to protect Gensokyo's balance, protect balance between humans and youkais, and protects the barrier.
11. Hecatia's different colors have different personality. (fandom intensifies)
12. ZUN thinks Hecatia changes her cloth color AS her hair color changes.
13. The words on her clothes were originally "I (heart) Hell" instead of "Welcome (heart) hell". But he thinks this is too far so he changes it.
14. Hecatia is supposed to be a serious character, but ZUN wants to make her "serious but with weird outfit".
15. Gensokyo is part of the Spirit World. Every worlds that we don't understand is part of the Spirit World.
EDITED: Grammar error