I just rewatched that episode (ep 3) two nights ago with a friend, and right at the very beginning they showed Cary and Kerry fusing into one body. It was such a quick little flash that I don't think I realized what I was seeing the first time. Not until after hearing their powers explained in the next episode (and then seeing that previous one again).I kinda remember that. It was when Syd and David were on the dock, talking about their experiences of being in each other's bodies. David apologized for touching her breasts while he was in her body, and she shrugged it off, saying that she'd been in so many other bodies that she felt detached from her own.
As for the most recent episode, the silent house at the end was pretty awesome. This episode had me strongly thinking of someone like the Shadow King. It very much seems like his MO. Though with this show anything is still possible, so Mojo isn't 100% out, but I seriously doubt it at this point.
Regarding the time period, I think it's safest to say that this takes place in an alternate universe. (Or all inside David's head.) Many styles remind you of the past, but the soldiers at D3 headquarters seemed very modern, and yet their viewscreens seemed completely unreal. (They were one of the early reasons I thought Mojo might be a possibility.) They make me think of tv-screen-shaped dreamcatchers.