W-well... this is quite a pickle because I'm not that good enough to give party advice myself but I'll tell you what I believe I would do if I were in your situation.
Let's see, my above point still stands - it depends on you but I'd rather focus on 1 unit than make several extras that I might or might not use~ So I'll ignore the Gunslinger path for Cybella and go all in to make a Hera GR Cybella then LB her. If you get another Hera Kane go for GR and you're set I think.
As for your current team, it seems fine to me, you got 2 on demand CC and nice damage. CK allows for swap the ranged boss next to your melees. Maybe for some maps where you die to AoE or splash get a HD Faye instead (personal preference); if you want Paladin it's your choice (CK + Paladin Faye is really annoying in PvP)~ LB CK is worth but I'd do your GR first.
For your Shizu I can't comment on Magebane because I never used but personally I like Samurai Shizu alot more although both works well with GR behind them~ Again, preference.
Yeah I'd make a Ninja Kai and MLB him sometime just a matter of when (make sure is Ares).
Athena Kiera is no contest, go for Elementalist, but they aren't in much of a good spot right now (need specific setup?) so I'll leave her for last. If you struggle in Gold Mine then maybe make her quickly she's good there. xD
Thank you always for the detailed input ^_^.. I'm now considering making Faye Crusader now after what you said. After a day I already finished with my Hera Cybella and LB her once using my previous main Cybella lost all my fodders though. I can MLB her and would still have 2 3* Extra Cybella so do you think I can make them Gunslinger at some point when Im done with my arena team? Also i would want to insert Crusader/Paladin Faye in the future in my arena team (double defender) taking out Shizu I guess. She willl also be of help for PVE since I still cant pass through 3rd map of legendary arena

While I'll be focusing with this, big thanks to you, I'll save Kiera and Kai's for last.