Backgrounds usually completely cover the whole screen/window, so wouldn't this hide all sprites completely? In this case, how can you tell they aren't just deliberately being removed? (There are, after all, some scenes where sprites just aren't shown, even for characters who have them.) Also, exactly when is this happening?

If you mean something else, then you should provide a screenshot.

I know because I saw the slow process. The sprite appears first, but briefly, before the background rolls down and covers it. Any other sprites that appear after this process appear normally. Also I just found that saving and loading the scene can show the sprite, but only after the sprite change expression. I'll give some screenshot later.

These are the screenshots I managed to capture.

This is the screenshot of the screen before the transition process:
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2513256054

This is the first step of the process. Rika's sprite appears briefly:
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2513256152

But then the background picture rolls down, covers the sprite, then the textbox follows, finishes the transition process:
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2513256225
Saving-loading at this point doesn't change anything.

But the next time Rika's sprite changes expression, saving-loading will show the sprite.

Before saving-loading:
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2513256351

After saving-loading:
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2513256427

How do I know that Rika's sprite changes, even without being able to see the sprite? Because everytime a sprite changes expression, the textbox will disappear briefly, showing the expression change, then appear again. How do I know this? Because I already play Higurashi ch.1 to ch.7, so I know how it works.

This issue of mine isn't a big deal, really. I can still see the character sprites before the background rolls down, and I can make them appear again by saving-loading the next time they change expression.

But still, I want to experience the story smoothly without all the hassle above.

Hmm. I checked videos with this part being played, and they're not showing the behavior you describe; instead, what you see is a dissolve from one scene to another, with the sprite being part of the dissolve. So I think that either (a) a bug has been introduced more recently, or (b) there is something not right with your graphics.

Here is an example of what it's supposed to look like (skip to 28:25): https://www.youtube.com/watch?v=PYvUBNHRNfw

Exactly. I just finished the game, though, so it doesn't matter anymore. Hee hee... Maybe I'll look for a fix sometime later.