While you could teleport straight to Milla’s Shrine, you’ll want to stop in the Nia Khera Spiritway to get the skits Rollo’s Owner at the entrance.

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Watch both skits that involve Julius for some great affinity chances.

In the Southwest Region watch the Reunion with Julius skit.

Consider heading to any merchant to create the Prometheus (Light) weapon in the Custom menu before you continue to Milla’s Shrine.