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Didi has the ability of seeing in the 4th Dimension, but is not cognitive at such a young age she doesn't even know she can. She only sees the physical world of the Original Dimension that everyone else is in but is able to see Dawn from the Alternate Dimension. From her perspective, she only sees Dawn shift to and from the shadow(or phases in and out) which is just a representation of a doorway inbetween dimensions.
From Dawn's perspective, she is physically in the Alternate Dimension. Dawn is able to see Didi's dimension but, is physically constrained to the boundaries of the alternate. Those are the two dimensions that coexists in the same space to each other. Some might not beable to visually comprehend that. What Dawn is seeing in her dimension is Didi's dimension phased within. Look up Murdered Soul Suspect, that would give one a visual idea of two dimensions in the same space. One must remember though, the player is only able to see what Dawn is seeing.
For the shadow mechanic as all the pictures describe of projecting oneself by using the light that projects ones own shadow to move outside of the plane and is able to traverse the light that is visible from the OD. Since Dawn is physically contained to the AD and cannot shift between both dimensions, she can only shift to the edge of the dimension and traverse along it where ever the light is projected from but is not capable of fully shifting to the OD and beable to be seen by anyone who cannot see 4th Dimensionally.
I think what is really confusing everyone is all the other characters shadow's in the game is just a artistic visual representation (the characters are physically there for Didi but, from Dawn's and the players perspective in the AD, we only see the shadows from the OD) and as the dev's said, it was something they decided to go with. Which worked out with keeping the visual aesthetic of the art in the game and maintaining a aura of mystery of the story till the end.
For the ending, it does seem to be confusing the way they did it. After watching the ending again, I have a realisation that Vincenzo shifted from the Original Dimension to the Alternate Dimension. But since Didi can see Dawn from the AD, so she is still able to see Vincenzo from there also. From her perspective he faded out and back.
From the players perspective, since we are only seeing the shadows projected from the OD to the AD, we see him phase into the AD.
As some have have already said, I was fully expecting a "Fight Club"-style plot twist. However, having played the game through to the end, I honestly think that budget and time restraints led to a tacked on finale heavily influenced by that of Bioshock Infinite.
While alternate universes and 4th dimensions are a headjob to understand, a modicum of research revealed that, in 1923 (when the game is set), Einstein had recently returned home from the Far East; likewise, the idea of a multiverse (attributed to Einstein in Vincenzo's show) was not mentioned until 1952, and then by Erwin Schrödinger (yes, he of the cat).
I think the ending itself was equivalent to the trope of a dead zombie's eye opening at the end of a horror film, itself known as "The End... Or Is It?". Everything else - and this will probably sound harsher than I intend it - is guff and buzzwords put in to "explain" a videogame mechanic.
The way I interpreted the story was a lot along these lines, with a few changes. For example, the way I had taken Didi's interactions with Dawn and the shadow world were more literal in that she does know she can, rather no one else believes it. Children as they grow up often have "imaginary friends" in reality as it is. During this phase, Didi just happened to have the ability to see Dawn, and this alternate universe that everyone in reality would consider make believe fictions of a small child.
So there would be the 2 different dimensions, the "real world" which we would be in, and the second one of the "shadow world." which just happened to trap dawn by an incident with Vincenzo. He has no idea how he did it, and tries to figure it out over several years. In that time, He meets Kat and they create Didi. But is still far more obsessed with understanding magic, and alternate dimensions than being a father. Dawn befriends Didi as the only person around who can see her, and helps Didi by making small changes to Didi's reality the only way she can. Eventually Vincenzo learns how to move between the different universes himself, and would then be the only person who would believe Didi's "delusions." Hence the final scene.
As for the psychological profile pieces, I assumed that would be something that would come up if Didi insisted that the things she saw were in fact real, without the adults being able to interpret the other reality too, they'd assume she was insane, especially in the 1920's.
Damn, thats the tricky question :D