It has co-op, but you must clear the first chapter to unlock it

it has Free-roam co-op but not story co-op

Originally posted by Shel:

Hello, what we can do in Coop, instance? Dungeon? Roaming?

Explore areas, kill monsters and NM
Episode quest ("Red" events)
Raid bosses
Sacrament dungeon
Trade items (very limited number of items are tradable)

Examples of what CANNOT be done in multiplayer mode:
Event fragment ("Green" events)
Story progression
Ouroboros dungeon
Infinite dungeon (Deep Data Domain)

You are also unable to perform allied skill attacks in multiplayer mode.