At present, BlazBlue Central Fiction appears to be the most recent game, but the possibility of future entries depends on various factors such as fan demand and the developers' creative vision. So, we can't definitively say it's the last one.
Yes, they can be. For example, 'BlazBlue: Phase -0-' gives a good introduction to the basic concepts and characters in the BlazBlue world. It doesn't assume too much prior knowledge, so new fans can start here to get a feel for the series.
A BlazBlue Kokonoe fanfic can offer unique insights into the character. It might explore her backstory further, like her relationship with her father. Fanfics often take the existing lore and expand on it in creative ways.
Well, 'blazblue fiction' is centered around a fictional realm where there are various clans and individuals with special powers. It's about their struggles, their quests, and the power dynamics among them. There are also deep-rooted mysteries in this fiction that keep the players or readers engaged, like the origin of certain powers and the true nature of the world itself.