Yea, that is a good point. They officially introduced multiple 'dimensions' into this. I am guessing that is so they can tie in the Chitauri, Thanos, Hela, etc.. into that 'Dark' dimension the Darkhold and Ghost Rider come from without getting too 'cosmic' or religious. Some of the cosmic marvel stuff really goes off the deep end for a casual fan. Cancerverse, anti-verse, the Abstracts (eternity, infinity, etc..) and so on.. I always liked that stuff, but I realize it's not very accessible.
Also, I've seen some theories that Hela may fill the role of Death in the Infinity War. This would make the whole thing more relatable, as Death in the comics never talks and that doesn't translate to film so well.