The first character is Lady Miles. She lives in the noble living quarters of the castle in Aldlyn.
The second character is the cowgirl Maxine.
Both should unlock in the CG room after you talked with them at least once.
The thief can start the quest after you recruited Kurohime, Citrinne, and Lady Akira to your party in the time skip phase. Have you done that? It happens after the event that recruits Scarlet to your party. And make sure you look for the thief in the new Thremten map in the time skip phase, not the old Thremten. 