@raos044 I think all volumes are worth it, the bonus stories are all really great and many of them show a side of Hajime we don’t normally see in the main storyline.
I will highlight Volume 4 specifically there are 40 pages worth of bonus material broken up into 6 stories, featuring many different characters. Hajime Yue Shea and tio of course but we have a story dedicated to Ai Chan Sensei, a parody of a very famous story written by a secret (or not so secret) pedophile, a story with Kouki and Ryutarou where I don’t hate Kouki’s guts with a burning passion, and many more, we even get an extremely in-depth lesson on how to use magic from Yui Sensei which personally left me in shock.
From the subtitle of volume 1, I expected that the outside world would be trivial to Hajime and the girls. The conflict wasn't so much about whether or not he could win against those monsters in this volume, but Hajime's teetering humanity. He's really not that far from becoming a monster in body and soul.
I also agree that Shea and Tio are more annoying than anything else, but I'm getting the impression that each girl is going to do something to restore Hajime's humanity. I think the problem is that the author isn't executing it well. He's trying to be funny, but I don't think we share the same sense of humor.