Criminal Girls: Invite Only

Story-related and cannot be missed.

Cleared the fourth challenge. Face each girl's sin and help them overcome their weaknesses. This involves backtracking to specific floors and finding items the girls might not have wanted you to look at before. Prepare for party shuffling, since each girl will be unavailable at some point. When you're looking for the item, the game will let you know when you're on the right floor.

Tomoe's item is on Inferno 2F.
Kisaragi's is on Frost 3F.
Ran's is Morass 2F or 3F. There are conflicting reports on this one, but the game will tell you when you're on the right floor.
Sako's is Inferno 3F.
Shin's is Frost 1F.
Yuko's is Inferno 4F.
Alice's is Morass 4F.
Credit for that goes to Somnia765 on the GameFAQs boards.