It's hard to think of a Persona villain fans love to hate as much as Nyarlathotep. The fourth game has an effective foil to its hero and the fifth has some incredibly loathsome foes, but none of them are as existentially loathsome as the Crawling Chaos. A morally repugnant eldritch abomination, Nyarlathotep is a sadistic monster who believes that humanity has doomed itself to destruction and is all too eager to speed it along that path to annihilation.
With this in mind, it's easy to see why so many players want the Lovecraftian demon to return in a future Persona game. However, it's debatable whether that's really a good idea. While Nyarlathotep is certainly a powerful foe, it could be argued that he's so intertwined with the world of Persona 2 that it would be hard to justify his appearance in future games. With this in mind, it may be more productive for the series to adapt what makes him great for future antagonists instead of trying to make his particular lightning strike twice.
Persona 2's story concerns a cosmic bet between Nyarlathotep and the benevolent spirit guide Philemon, who respectively advocate for humanity's damnation and salvation. Instead of engaging in direct combat, however, they work through various agents and allies to get one over each other. While this technically makes the battle less apocalyptic, it also results in numerous mortals being dragged into what ultimately amounts to a divine squabble.
In this context of higher beings gambling with humanity's future, it made sense to cast a god from Lovecraftian lore as the arch-villain. The author's writings often dealt with the insignificance of people before a vast, uncaring universe, and Nyarlathotep embodied that perfectly. At best indifferent to human suffering and at worst actively reveling in it, and more than happy to interfere in the world to ensure their destruction, the Crawling Chaos was the most intimidating villain the duology could have had. Unfortunately, because the rest of the series is so wildly different in tone, it's unlikely that he would have fit into it.
The continuity between Persona 2 and the games that followed has always been somewhat loose. Though some characters have been name-dropped, most notably in Persona 3, they have yet to really involve themselves in the new stories. While there were hints that eldritch forces were involved in the story of Persona 4 Arena, which made many fans suspect Nyarlathotep's return, the true villain was, in fact, a completely original character. Persona 5 Royal added a lot of new content, much of which was based on Lovecraft's work, but again Nyarlathotep failed to show despite the fandom's speculation.
This is probably because Persona took on a much more personal tone after 3 by putting a bigger emphasis on character development and building bonds with one's allies. The games still have plenty of room for darker moments, but they tend to be more realistic. Many games handle the struggle with grief, while Persona 5 tackles such issues as sexual abuse and miscarriages of justice. When a cosmic horror monster does appear, it's typically as a thematic way to conclude the story. As a result, villains like Izanami and Yaldabaoth aren't as well-developed as their games' more human antagonists.
Had Nyarlathotep appeared in Royal's final semester, as was speculated by some fans before the game was released, it would have only undermined his importance. This isn't to say that he shouldn't ever reappear, but he would need to be more deeply entwined with the story. Nyarlathotep may not have always acted openly in the Persona 2 duology, but he still exerted consistent control over the course of the games. Shunting him off to the side until the endgame would undermine the slow, creeping dread that made his character so beloved in the first place.
What's more, Nyarlathotep has been out of the series longer than he's been in it. The franchise has clearly moved on from the character, building a new generation of fans for whom his return would mean little. While diehard fans might appreciate the reference, a substandard appearance would probably disappoint them. With this in mind, Atlus is probably better off letting the character die with dignity rather than dragging him up for the sake of nostalgia. There are certainly lessons to learn from Persona 2 that could make future games even better but, unless there's a tale that requires Nyarlathotep to tell, there's little point in getting tangled up with all the old lore again.