The Supernatual

Damnation very clearly shows a cast of supernatual characters, mostly specified and known as demons, shinagamis, angels, etc. As meaning the world is set in a place where the supernatual exists, as the humans are unaware of such. With them being oblivious, they would be confused with Hatori fighting Mega in the middle of Tokyo. This could explain some of the moments where the cops are chasing HatorI, perhaps they want to perform tests on her, draw blood, etc. Although, the police never sought after Isabelle, Sino, or Minty, meaning Lacie probably showed too much of her demon side by accident to the public world.