I didn't know this.
Wasn't 1 set during WWI? And this is II?
Valkyria 1, 3, and now 4 are all set during 1935 EC during the Second Europan War between the Federation (West) and the Empire (East), with Gallia (neutral country in between the two opposing forces) eventually getting caught up when they are invaded by the Empire. VC 1/3 are from the perspective of the Gallians, and VC4 is said to be from the perspective of the Federation.
Valkyria Chronicles 2 is a direct sequel to 1 and is set in 1937 EC and is largely set against a civil war within Gallia and after the conclusion of the Second Europan War. It is basically the Tokyo Drift of the series now, where we now have 2 sequels that will not take place after it, and it largely focuses on a new cast (though Squad 7 and other VC1 characters are present, if not in the leading roles).
Selvaria's DLC content in VC1 sheds some light on events prior to the invasion of Gallia from the Empire's point of view, which actually feels like a cut from the same cloth as FE: Radiant Dawn. By that I mean both had previous content (VC 1 main story, FE: Path of Radiance) which showed one viewpoint of a major war (Gallia, Crimea) and then this follow-up showed the viewpoint from the opposing side (Empire, Daein). Basically, despite being shown you are heroes and good guys, your actions (or rather your side's actions) bring about death and destruction to innocent people who now view you as evil. Basically, there are no winners in war, only death.
So with VC 1, 3, Selvaria DLC, and 4, we should have a complete picture of the Second Europa War after seeing every side's story/actions.