[meme] the problem with "give my characters advice they wouldn't follow" is that half of them will do what the other half never would and vice versa
the only advice i can think of for setsuna that she wouldn't take is
enbrace chaos
stop being so selfless
wait no ryuko exists. dammit
Platinum: neither arthur, the sword, or arellys are even remotely selfless, all three of them are extremely wedded to being lawful evil at even the worst of times
you could technically get the sword to be selfless for her lady's sake or the rest of the high court but for literally anything else, n o p e