"There should be some penalty for having them die, perhaps you need to spend a pip of health to revive them or something."
ONLY if they change their AI because frankly, they're impossible to protect in some levels. I saw one going around trying to attack Grimalkins(which, surprise, killed it) and the others derping and trying to attack monsters through walls in deconstruction zones, and yet could still be hit by the bombs. I'm a little glad that they didn't give us an escort requirement for them because their AI is horrible at the moment.
After reading all of that, I don't think there's anything major that I can really disagree with, so I'll just share on individual parts.
I also loved the Soldier Graveyard. Like you said, it was unique and intense, and I'd like to see more of these missions with really specific scenarios. A stealth mission would be great, and I'm sure people would also enjoy having one in some form or another (see Derpdederpderp's post in my Class Missions thread).
As for the disjointedness, I'm not entirely sure the extent to which the rank missions are supposed to be related. Many of them do seem to lack any substantial connection with other missions storywise, and I feel like there could be a few explanations for this. Some of the missions are clearly just introductory missions to sort of showcase the different damage types, so they don't really need to connect to the story much. Others have their own little stories behind them, like Geo Knights getting stranded somewhere. These missions are exactly that - missions. Maybe it's strange that Spiral HQ needs every single player to go down and rescue Geo Knights, but that's what's up. All that being said, I definitely wouldn't mind if missions (at least the rank ones, the "main campaign" of Spiral Knights) were a little more fluid in terms of their storyline.
I like the Arena revamp idea, hands down. I especially like the idea of having monster "fans" lining the arena to watch the fight, as you may have seen in my Class Missions thread.
I had no idea the knights could die, honestly. I just saw them get hit and assumed they were invincible. Giving them a more tangible health total and requiring their protection are both things I support (again, that Class Missions thread). I haven't played through all of the missions yet, but I'm still waiting to see something like what was showed in the original Mission System Preview - a real fight with fellow knights.
As for Mechaknight Kits, I actually sometimes just use those to pull some enemy aggro off of me for a bit. Making them actually viable fighters would be cool, though.
Like I said, waiting on a real fight with the NPC's...
Easter eggs are cool, but they're kind of gimmicky really. I don't see a whole lot of purpose in adding them.
I guess I can agree with having Prestige Missions be more challenging - something actually worth rewarding prestige. As far as I can tell, the difficulty of Prestige Missions do currently scale according to your rank, but they're still really easy to do. It's still unclear as to how prestige is going to be used in the future, but in any case I feel like it should be a little harder to build up.
Cheers.