Jessica's main role is to unlock Chapter 3 and warp players to Vanadis. She will only allow you to do this after completing Chapter 1 and Chapter 2.

She can be found in Moonhaven 210 240.

After she warps you to Vanadis, she will go back to her old line, saying:

"Not this... Not this... Definitely not this... Hmmm..."
If Jessica warps you to Vanadis, then you should have access to Odin's Armory as well, to which you can be teleported by talking to Valkyrie.