It's probable that only volumes 4 and 5 have characters in common; despite the series title page, the others were probably bundled to make a six-volume boxed set.
Volume 2 continues the story from volume 1, but is probably unrelated to volumes 3-5, which are a traditional series with characters in common. Volume 3 was serialized in The Myrtle before book publication. Volume 6 is a collection of unrelated short stories.