As far as I can remember you have to accept this request called "The Ultimate Opponent" or something similar in the Velvet Room first.
Margaret is **** easy, as you can play against her with a full team. Beat her alone though, to make it feel like Persona 3. But Yoshitsune is too damn OP xD. Margaret and Elizabeth are not all that hard since they use cycles, you just have to prepare against those.
Bookmarks