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I reccomend checking how that works ingame or on youtube, because i don't want to give potential spoilers
remember futabas palace? its that but for the entire game. people confronting their shadows
Palaces are were made to fit into the theme of P5 of being thieves
And mementos is just the place where Yaldabaoth resides so it is only In P5 however you do have similar concept in Persona 3 with Tartarus but in P4 you only have dungeons
This is the game that introduces them. Although instead of being total effing monsters, the Shadow Selves in this game are of the protagonists, and are mostly just misunderstood emotions being let free.
As for the Palaces, I suppose you could say that each dungeon in the game is kinda like a palace, but not particularly. Each dungeon is how the victim sees their world, but instead of being focused around themselves, they're usually the result of the victim being abused in some way by society.
As for Mementos, there is no "palace of the masses" like Mementos, but each dungeon is not only randomly generated, they don't collapse at the end and you can go explore them any time you wish.
TL;DR - Yes and no, P5 expanded on a lot of the concepts in P4, but the palaces are not truly palaces and there is no Mementos.
I won't spoil anything but if you get the true ending you'll find out that it's not there "just because".