Arlecchino is very incompatible with Furina.
Arle's has a kit that revolves entirely around using Bonds of Life to buff herself and she cannot be healed by anything but her skill. Note that healing takes away your BOL.
Furina's skill (in Ousia) vampirizes your entire team's HP to buff up its damage. Her other form also heals (i.e. worthless with Arle) and she relies heavily on having healers on your team.
You can probably see where the problems would arise.
Granted, I've heard it's definitely possible to run them together if you set things up right, but it feels like way more effort than it's worth imo. I'm not sure how though, so imma leave explaining that to whatever total maniac (/pos) has decided to try that blasphemy out and made it work.
For an Arlecchino team, the first thing I'd recommend is a good shielder. Get Lan Yan off the Lantern Rite selector if you haven't used it. She's one of the best to use with her IIRC.
Dunno about Yelan; don't have her and haven't really looked into her much.
Edit: Ousia, not Pneuma. Always screw that up.