The big important sequel bits are all to be found in the story. It's several years since the events of Hotline Miami and a small cult has built up around jacket's actions. Multiple characters interact and become playable as the story progresses, but their motivations remain their own. You as the player are an observer, along for the ride, and if a character acts odd it's internally consistent even if the game doesn't spell out why. The overall theme of the story focuses on the idea of "endings", seeing as it's the last (and only other) game in the series, but endings can mean different things to different people.