Hi! Try starting a spirit training session with Candy and take a walk in the forests closest to Agranor.
When I was going through this moment, I had Celica carrying a spirit stone with her and, as instructed by other characters, she was leveling up in the forest, where she met Nel and Faylen. So it's hard to give a more precise answer.
Candy - yes, a mannequin, the toymaker's wife and a testing ground for Celica. In this game, it is important to read the dialogues and remember the key characters, otherwise it will be difficult later.
Yes I already leveled Candy up to level 5. Now I need to have my second interaction with Faylen, but she never shows up. Not when I'm possessing Candy, nor when I'm just Celica. I am having Celica in the Deepwood forest. Carrying a spirit stone in her equiped stuff. I even called Nel to the place, but Faylen doesn't show . Only slimes.
Are you sure it's at this wood ?
If Nel doesn't have access to Faylen's body yet, then this happens in the forest. Usually after the quest with the appointment of Celica as a messenger between the elves and humans.
The best option in this situation may be to send your save to the game's discord server, access to which can be requested from the author of the game by writing him a letter on the contacts page of the game's website.