you can get the wand and ylva in all difficulties.. even normal loki's wand works on epic and legendary.. you still have to beat loki though before you free king Gylfi.. but that just means if you beat loki and you didn't get the wand, you can get to the next rebirth fountain, farm it in normal.. then use the normal version wand to free king Gylfi in legendary.. she's really durable but you can't carry her across difficulties
what I'm thinking is if you play it in multiplayer, does each of you get Ylva? because that would really be unfair.. let's say you're playing in a party of 3, if each of you get Ylva, it's like it's now a party of 6.. but the difficulty never changes.. you can control her so you can just set her to aggressive and watch 3 Ylvas do the work for you.. not good for the game