Welcome to the forum!
Yes, each DQ book is a one off story, but they do build on each other to some extent, with characters re-appearing and plot threads carrying over to future books. You would benefit from reading them in order rather than cherry-picking. (Although, I doubt I could ever produce enough books to cherry pick from anyway!)
There are obvious problems with a persistent hero. At the end of Legion of Shadow, your hero is quite powerful. To have carried them over into a whole new book would mean that, from the start, you would have foes that have 100+ health at least - and by the end of the book, to allow for progression, you would be facing opponents with health of 600 or more. I know it is all relative, but I didn't want the numbers to get too crazy. I also wanted to avoid, at all costs, doing something lame like removing abilities or items from a hero at the start, to de-power them. That would infuriate a lot of people!
I wouldn't worry too much about the persistent hero thing... as there will be elements of that in the books (no hero will be in retirement, put it that way).
My goal and challenge is to make the central hero in each book as interesting and challenging to play as the last. Hopefully, I'll pull that off!
