We first (directly) learn that there are secrets in the game after we reset after killing 400 Demon Gods.
At that point he tells you: "Yo. Welcome back" - "I know you're a little on the slow side, but even you must have realized it by now - the fact that this game is filled with secrets." - "Case in point: What's up with our names? Don't you find them a tad suspicious?" - "And how about the fact that OO is OOO, or the fact that OOOOOO was O and O?" - "Oops... It seems the censors have a field day whenever we touch upon the really juicy stuff" - "Don't let it get you down. While there are some secrets resered for us higher-dimensional beings, there are others that you third-dimensionals definetly have access to." - "The question is wether or not you can find them." - "Hehehe..."
So, after doing some research, it's found that if you wrote the first letter of each 10th Demon God (the bosses), you'll get a sentence. Even though all letters are cramped up, you can understand what it means."The rule about deleting this game is a lie the first players of JKM were brainwashed into avoiding the sequel at all costs and I had to get them back somehow the easiest way to make people play a game is to..." (And it didn't continue)