From the outset, I have no clue whatsoever as to why you would make Fenrir a 'good guy' in the context of Norse Mythology, seeing as this requires most of the rest of said mythology to bend to this new interpretation.
As for connecting Fenrir to Thor... Thor is kinda Jörmungandr's archenemy already, whereas the closest to Fenrir's would be either Tyr (the guy who betrayed Fenrir - sorta), Odin (who he's destined to kill) or Vidarr (who killed him in revenge).
There's also a sort of faux pas in that you make note of the fact that Fenrir became known as a monster, but then neglect to actually mention what this entails to his death, Ragnarok etc. Otherwise this wouldn't be so important, but seeing as this Fenrir shares a name and a source with a figure of mythology but has little else in common... Something resembling a background that explains what this character has to do with the mythological Fenrir might be a worthwhile addition.
As for the Skills:
- Mad Enhancement is actually pretty ambivalent on what exactly the madness is caused by, so I don't really see the point of it having the (Sorrow) bit. There's also the little detail that Mad Enhancement outside of E-rank tends to be constantly active, and in your sheet's case this would directly contradict his stated personality (which Mad Enhancement affects).
- Innocent Monster doesn't work like that (lore-wise or effect-wise).
- Why would Odin (who, given his reputation for being very knowledgeable, might have gleaned Loki's or Fenrir's intentions/fates) give his secret runes to a possible enemy (or the child of a known enemy, for that matter)? Loki also has zero connection to the runes.
- Quibble, but Himthusen is generally known as Ginnungagap, so you might use the common name. No clue as to why Loki, who has no connection to the place, would choose someone as its champion.
- Einherjar aren't divine entities. So Aptitude for Slaughter (Einherjar) has no reason to interact with divine stuff. Use God Slayer like everybody else.
NPs:
- Gleipnir Prime (which is kind of an odd name, but there's been odder stuff in the Nasuverse) might make a little sense if you actually related how and why it is what it is, rather than just all the cool stuff (of which there is too much) it can do. I once again feel the need to stress that Loki is primarily a shapeshifter in the myths, not a spellcaster. You might as well have designated it as Anti-Unit (Self), given that most of the abilities target the user.
- Gleipnir Ginnungagap has an odd name again, given that the name doesn't have any connection to the effects. As for its effects, why would it have anything do with magma? I mean, the blood magic bit I get (even if it just makes this NP a kind of knockoff of Gae Bolg and Gungnir), but why magma?
- As for Gleipnir Ragnarök... So it's essentially a big-ass explosion with added overpowerosity and sharing little to no connection with anything in Norse mythology? Neat.
- All Gleipnirs share the tiny flaw that they ought to be somewhat detrimental, since even in this shoddy altered Norse mythology they were used to bind Fenrir.
- Besides the lack of basis in Therianthropia Markesh (as Fenrir wasn't a werewolf), it's interesting that its effects don't mention a single actual werecreature among targets. Werecreatures usually being those creatures that can change between the shapes of man and beast, not those that share human attributes.
- Tiny Ragnarök Fenrir is tiny. But other than that, what does Beast of the Einherjar do exactly, and what does hits 'Beast core' of his do?
Relationship-wise, why is Cu Chulainn mentioned among broken warriors? He certainly doesn't seem to be very broken as a Servant, crappy life be damned.
Besides the above complaints, I'm also somewhat miffed that you provided a link to my Jörmungandr sheet for some reason.