Parts/Souls connection is noted in-game, so yeah, that's a pretty good reason to grind for 'em. Alia mentions Gate in the post-Maverick messages a lot, and she also confronts him directly before his levels if playing as Zero, and briefly addresses him after the first laboratory stage as either character.
The Nightmare System is definitely one of X6's weaker points, but it's far from a deal-breaker IMHO. The only one that really irritates me is Mijinion's spotlight effect. The rest are minor annoyances, and two of them (MSP's blocks and Heatnix's fireballs) can actually be helpful.
Can't do that [parasitic bomb] with the Shadow Armor!
While the Gaea Armor's anti-boss engine of destruction is quite possibly one of the most under-appreciated qualities of the series, Shadow Armor can bust one hell of a lot of heads in its own right. Ultimate Buster, Overdrive, and your ever-trusty Giga Attack will dismantle pretty much anything.
Although if you want a REALLY satisfying/humiliating win, take Ultimate Armor against High Max. "No chance to lose" indeed.
If there's one single thing I love above all else in X6, it's that victory was damn well satisfying. There's a tremendous difference between how powerful you are at the start and how powerful you can potentially become, far more so than in the other games, and it nicely compliments the unusually high challenge, making you feel that you have overcome great obstacles and relish in how badass you are compared to a couple of hours ago. I certainly cannot say the same thing for a game that ends with half of Zero's body vaporizing when he wasn't even on screen to begin with.
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