Personal reflection on the new characters and their implication:
Stage 4 boss: This is our classic form of new Touhou characters, as far as the rest of bosses come. Strong base on borrowing from Japanese mythology, with appearance (one-wing) based on the folklore. It's also notable that she is referred to as a goddess, as we get more insight on how a "god" (among the eight millions) tends to act and behave outside their dominant realm known as Earth.
Stage 5 boss: Oh, boy. This feels like ZUN's finally giving the Western a service from his visit to America for AWA2013. I always had a feeling that if ZUN liked his visit, he will shove an American character into his Touhou somehow, and this is exactly what we got. Clown is much less of a derogatory term in Japan than America (ex. how Ronald McDonald is perceived and used differently), but ZUN still seems to understand the psychotic undertone behind being a clown. Perhaps he found from visits on America that Americans that are much memorable are the clowns that makes his heart content.
Stage 6 boss: It's good to know that LoLK is not about the moon, but rather, an attack to utterly obliterate the moon. We review the forces of Hell here from stage 5, 6 and Ex, and this one particularly is covered in mystery. While much mystery will be uncovered, there's postulation that this character is also motivated nine-tailed fox from her attire. A good spinoff I suppose for a boss that is motivated due to pure vengeance, then to have that feeling eventually worn off.
Ex boss: Now, this one is a big news. ZUN has always borrowed from Japanese mythology to create and explain his characters with very few exceptions (hobgoblins, TH6), but now this is the first time in the game that ZUN borrowed a character from Western mythology (to be exact, Greek Mythology). This is a big implication because it means that in the World of Project Shrine Maiden, gods, youkais, mythical creatures of various cultures and locations are just as valid as the myriad gods and youkais of Japanese mythology. It's pretty exciting to find that ZUN has acknowledged the existence of foreign gods in his mind world, as it could possibly mean that he has opened his mind further towards being more acceptable to the other cultures. I also liked how he intertwined the mythology of the East and West and combined it together to form a continuous story (as revealed in the character design). This is also a big nod to many fans who have been trying to connect the East and West in the world of Touhou.