You can find most informaion in the walkthrough or wiki. The individual pages for the characters show you what events you might be missing:
https://renryuu.miraheze.org/wiki/Characters
I assume you need to increase the levels of the vanguard squads before you can get the events of those vanguard leaders.
A list of all vanguard leaders and how the secret hot spring can be unlocked can be found in the FAQ:
https://renryuu.miraheze.org/wiki/FAQ#Vanguard_squad_leaders
https://renryuu.miraheze.org/wiki/FAQ#Secret_hot_spring
In the hellhound dungeon are also corpses or holes that you can loot, but the loot is always random.