The way they explained it was... At the moment, we are essentially between states. Since our souls aren't fully integrated to this place, evidently part of us is tethered here and part of us is still tethered to our lives. So their concern is that if they end things now, we wouldn't be connected enough to either state, and be lost as a result.
... So our lingering attachment to life is to our detriment, in this specific case. But as long as these murders continue, our souls may still be lost regardless.
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What a mess.