Yes, you may be.
The burning building is part of Roxy's storyline, at some point during that story you have to find something or someone in the building and then you can make the burning building become the no-longer-burning building.
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You'll also need to progress through Lyx's storyline to get the power to be string enough to find the mystery thing, and I think the stage you need to get to in that storyline for that requires reaching a certain point in Asterias storyline to reach a certain stat level. Wow it sounds convoluted when I lay it out..