To make it more clear I'll use an example. Let's say I play a bit with Green Knight. I get him up to a certain level, unlock some weapons, etc. Then I play some more with a friend on local multiplayer using other characters like Red and Blue Knight.
- Are the weapons, story progress, experience, etc shared between these play sessions?
- Can I lose anything by switching to other characters?
- Is it that no matter how/what/when I play I can keep my unlocks and have them available to other characters during other play sessions?