Are Tales of Zestiria and Tales of Berseria connected in any way?
Tales of Berseria took places thousand of years before Zestiria during the time where human could still see Seraph (which during the time are called Malaks who descended from the heaven in droves after some sort of ritual during the Scarlet night).

The anime most likely try to connect the two by showing the origins of Hellions (Daemons as they called it during Berseria) and how Malaks develop emotion to become Seraphs of the Zestiria timeline. and as the episode 5 title suggest the Beginning of the Calamity.

P/S She wears some sorts of prison robe. she got back in gears after plundering what looks to be the prison Armory