I've got a theory for you. I've already posted it on the Yume Nikki WMG page on TV Tropes, but I thought I'd share it here too.
The world has ended and Madotsuki, The Chosen One, is the last person on Earth. Now that the old world ended a new world has begun to appear, but it technically doesn't' exist yet; it's in Madotsuki's head, of course! The inhabitants of this new world, Uboa, Monoko, Masada, etc, are all manifestations of mankind's fears, evils, primal memories and emotions, etc. Kind of like the characters in Gregory Horror Show, if you've ever seen that.
Madotsuki's mission as The Messiah is to enter this world and conquer all of the horrible things inside it by collecting the Effects, which are whatever Madotsuki wishes them to be.
What's most important though is what she does with them in the Hub, or the Center of the "New World", at the end... She places the effects in the Center of the New World and they become eggs, we all know. So finally Madotsuki can go back to the Old World one last time... to leap off her building. By doing this she leaves the Old World behind, and ascends to a higher plane of existence as the God of the New World. The eggs hatch, sealing away all the demons and such in the New World, purifying it so life can begin again. The blood stain left behind doesn't represent Madotsuki dying, but instead the death of the Old World, which no longer exists.