The Mist Continent is a region in the Monster Girl Encyclopedia world lying "to the north of Zipangu" , which itself lies to the east of the Order's continent  where most humans live. It is a Chinese-themed land host to various kung-fu monster girls.
Aside from Wandering Scholar's desire to visit it, for a long time not much was known about the Mist Continent other than it's location. The Mist Continent is implied to contain anti-monster, monster-friendly, and fully-fledged Demon Realm polities, with Ren Xiongmao pandagirls greasing the wheels of diplomacy between the nations: "Since they have a charm that attracts people, the Demon Realm states and Monster friendly states of the mist continent often dispatch them as diplomats when establishing friendly ties with states that view monsters as suspicious" . The Wandering Scholar also reports rumors that some of the Demon Realms are ruled by legendary 9-tailed youkos: "In the uncivilised "mist continent," it is said that kyubi-no-kitsune rule and a devilish paradise that we can say is truly debaucherous is spreading" .
MGE volume 2 revealed a great deal more info on the Mist Continent, that can summarized as follows:
Getting to and back from the vast continent of mist is not easy due to the mists that surround it, unless one already is familiar with the way. The Wandering Scholar hasn't actually been there yet, and assumes there are many monster races there that are as yet unknown to him. Much of the information he has is due to him having had the good fortune of meeting a monster that traveled from there and what she was able to tell him.
The Order has no influence in the continent of mist, and its culture has developed largely independently of the rest of the world (though it and Zipangu do have some things in common). Most everything about the mist continent is huge and/or gaudy, be it the architecture, the clothes or the massive mountains that rise above even the clouds. Atop these mountains live god-like monsters (typically regarded as gods by and rulers of the people), and it is their mana rolling down off the mountains that produces the mists that give the continent its name.
There are three major nations in the mist continent, who in turn protect various smaller nations allied with them and together control vast territories. Thus in effect there are three factions, and each faction is perpetually in conflict with the other two factions. It is believed that this constant state of war is why many of the monster girl races there have become naturally skilled in martial arts. Note though that, while its called a war, death isn't much of a factor in it as most everyone fights with realm silver weapons.
As for the three factions:
The Land of the Four Gods is a bright green mamono realm ruled by four great monsters often revered as deities. The people there aren't interested in conquering the others, only in maintaining and defending their borders. Its a nation of balance and harmony where living rationally and responsibly is the norm, and even the monsters often restrain their lust to unleash it only at night and such. Of course discipline is still looser than in many human societies.
The Land of the Four Fiends is ruled by four exceedingly licentious monsters, and the dark realm state of the land reflects this. Basically its an extreme dark mamono realm, with all that entails. Even monsters like jinko are raging beasts, always in heat. Even the smaller states have god-like monsters as rulers, namely nine-tailed youkos, and on an individual basis the Land of the Four Fiends can be said to have the strongest monsters. That said these nations are not interested in conquest, they invade the other factions only to acquire men to take back to their own lands (since they can't produce their own men) and their fighting forces are made up mostly of unmarried monsters.
The Land of the Four Souls is a human-dominated set of nations presided over by a bold emperor. The faction is named after god-like monsters in the "holy land" mountains above who mostly stay out of worldly affairs but grant men who seek them out power, these monsters are regarded as gods (perhaps because according to the philosophy of the people here monsters should be lower in rank than humans). Incubi are regarded as transcendent sages or "xian" who have made the power of the holy land their own. This faction believes in human supremacy and frequently launches military campaigns against the other two factions to absorb them, they believe that the world belongs to humans and by extension it belongs to them specifically. They have subjugated but not eliminated monsters in their lands, and marriage and reproduction with them is allowed. It is mostly the men who fight, but some have monster retainers. The men also tend to take pride in protecting the monsters and don't want them on the front lines. As for their monster wives, they give the men realm silver weapons and cast spells to protect them when they go off to fight but still worry about them.