I have one question. Since the Harlequin are always seen with their cloaks and masks, could it be possible that when they are not working they could have another life separate of it. Nothing of great importance but when they are not hidden away behind the cloak could they be like anyone else, even if they only lived this other persona every now and then. 
The whole mystery leaves the idea of them being anyone, a next door neighbor, the baker down the street, even the harmless storyteller on the corner, to be wondered about. After all, who would one be more comfortable talking to? A Harlequin or the smiling face you see on your way to work...