The story has - perfectly reasonably - things it doesn't want to happen and ignores its own world building to make them. It wants Will and Lyra to be tragically separated across worlds, and so moves things out of the way so they will be.

It's established that people can become angels, and angels exist across all worlds and can love other angels. Solution one, ignored. The dead all go to the same place and rejoin the universe from thee: solution two, ignored.