We have a winner.
1. It's implied that I'm competent... I guess it's my bad luck that I always need to be rescued?
Dyluck spends nearly the whole game captured by Thanatos & the Empire while the Girl tries to rescue him. Super had the right idea here, as Dyluck is indeed a male knight yet on the wrong side of the kidnapping equation.
2. Well, not all luck. It's understandable that people are desirous of me for my general awesomeness. Is it my fine character? My looks? Or... my power?
The Girl & Phanna both have a crush on Dyluck. Thanatos wants him because he's got a lot of life force / mana power / etc. in him (which Dyluck uses to save the day a few times). I was half-tempted to use "I have a nice body" as a clue, since I think Thanatos says something like that.... but the (incomplete) Script I found on the Internet didn't have it, so. Also, second repetition of "luck" in a clue.
3. It's just too bad that the last rescue attempt doesn't really arrive in time.
4. This wasn't supposed to... BWAHAHA I EAT BABIES
Thanatos possess Dyluck for his power right before the boss battle with him.
5. (Okay, so I'm dead now. Man, if I could go back and do it all over again, I'd just tell the king to send the wandering nobody with the sword to deal with that witch rather than me.)
Dyluck got captured in the first place by Eilinee the witch, who he was supposed to beat up since she was helping steal souls in Pandora. The Boy & crew take care of her instead.