I tried to reply to this earlier, but I guess it didn't go through.
I think having the game/story loop back would be a bit odd/out of place (even though the game itself IS about travelling through Time to prevent the End haha).
I do have a save point right at the Timestream selection as well, so the player can easily go back and replay whatever character they prefer. With that being said, I could communicate to the player better that the decision they make is permanent and they will always follow the path/timeline of that hero.