Well, you'd never know Spirited Heart was set in the same world if Jack didn't tell you, at least I don't remember there being any indications that this was the case.

Well the first line of the game, when you do the character creation, says:

"In the faraway land of Aravorn, the magic is strongest when the moon is full. On nights like these, even the air feels alive."

by same world I mean the same universe/region/place. But at those times I just made up the name Aravorn, and the town where SH takes place, Triberg. But hadn't planned anything else

Plus it's set in a future Aravorn (hence the demons) so it wouldn't be obvious unless you scout out the details of the game

Well the first line of the game, when you do the character creation, says:

"In the faraway land of Aravorn, the magic is strongest when the moon is full. On nights like these, even the air feels alive."

All right, all right, you got me there. There's not really anything that makes the games feel as if they're set in the same world is what I probably meant to say.

Well the "world building" part of Spirited Heart is basically non existent it was very generic fantasy world, probably that's why you couldn't remember.