I will never not be baffled by the take that Vax becoming a CR 21 angel of death post-Campaign 1 is a horrible, torturous form of enslavement that the Matron subjects him to because she's evil. Ascend to a Higher Plane of Existence is a very old trope/concept that, in the context of death and grief, is meant to soften the blow by offering the reassurance that the people we've lost are still 'around' in some form, which is very much the vibe with Vax; when I saw that his Champion of Ravens statblock types him as a celestial instead of a humanoid, the direction my brain immediately went in was "Well, celestials are a warlock patron option, so could I use him as such if I ever play a Tal'Dorei campaign? What about Planar Ally? Could he be called to fight beside his family once again as a summon, given the right circumstances?" Flattening it down to "but he doesn't get to rest!" is missing the point by a country mile.
He was looking to religion before it happened because he was looking for a purpose and the only reason he became her champion (long term)is because vox machina fucked up and let him get disintegrated (its cr3 and the cast is still really bad about leaving party members unconcious and dying for a whole round, even when the team has a healer cleric and healer druid)
There sre many other characters out there where if they decided not to Come back for religious reasons people would respect it..hell the cast hasnt even talked about the idea of bringing fcg back.
So yea as Agatha from thr mcu would say "sometimes boys die". He died. Permanently do to a demi god which he chose to face. It happens. The matron let him continue to protect his friends till it was over. Its sad but thats life (and death)