Before starting Episode 4, you can go around and talk to some people. You can check the map to see the locations of who will talk to you. They give you various information about what they know about Alias and some other things. Talking to them is completely optional though, so you can skip straight to Episode 4 if you wish.
Episode 4: The Hekseville PhantomEdit
Syd will explain that Alias is threatening to steal the Sacred Gem. He asks Kat to fly to the top of the church and get the fake one, which is made of candy. However, the guards are on high alert due to Alias and will stop Kat if they see her. You have a meter in the corner of the screen, if it gets to 100 then then the guards will stop you. Fly down and around the outside of the park, until you get to the church and fly up to grab the fake.
After you have the fake gem, Syd will talk to you and tell you to replace the real one with the fake. Syd creates a distraction so that Kat can go in and replace it. Not all of the police will go though, so you will have to go down and around again in order to get to the destination without being seen. Once there a short cutscene will play and then Syd tells you to meet him in the forest. Just walk around a few guards in order to get to the forest safely and another cutscene will start. Kat will give Syd the gem, but then he reveals himself to be Alias in disguise and runs away with the gem. The real Syd will come out of the bushes confused at what just happened.
Once Syd finishes talking some nevi will appear. Take out the first wave and another will appear. After you defeat the second wave a cutscene will start where the Police Force comes out and talks to Kat. She gets accused of helping Alias by Bulbosa, but Chaz says that she saved their lives so she couldn't be with Alias. After the cutscene the episode will end.