I think the point in Alan Moore's story is that Phantom Stranger was not willing to commit to either the angels of Heaven, or the rebel angels of Hell, and as a result was not accepted in either realm, and was thus destined to wander the Earth alone, accepted nowhere else.
Uniquely, this SECRET ORIGINS 10 issue presented 4 different mutually exclusive origins, and perhaps only 4 possible origins, maybe none the Phantom Stranger's actual origin. But 4 good, interesting, and thought-provoking stories.
