Man, I see this question pop up a lot, and I gotta say—I don't think character development is where 'Labyrinth' shines. The core appeal, for me at least, is the wish-fulfillment progression loop: dive, earn points, buy skills, repeat. The protagonist, Michio, basically levels up his relationship stats with the girls like they're another skill tree.
That said, Roxanne's loyalty and eventual softening is probably the most consistent thread. The others? Ehh. They kinda get their introductory arc where they overcome a trauma or pledge loyalty, and then they settle into a role—the quiet one, the cheerful one, the proud one. Their 'development' often just means becoming more devoted to the main guy, which isn't super dynamic if you're looking for traditional arcs.
It's functional for the type of story it is. You get just enough personality to differentiate them and make their recruitment satisfying, but don't expect deep, introspective journeys. The labyrinth itself is the main character, really.