The ancient Greek concept of the underworld evolved over time. In the oldest descriptions all the dead, no matter if they were good or bad, descended into the dark and dismal realm that was variously called Erebos, the Asphodel Meadow or the House of Hades. If you angered the gods you got punished during your life (in some cases the punishment could continue even after death, but you had to have offended the gods really seriously for that to happen). The idea of judgement after death with rewards for the virtuous and punishments for the wicked came later.
There were also groups of people who believed in the transmigration of souls, like the Pythagoreans and the followers of Orphism (it's the former that Theo is referring to in panel three. According to Pythagoras, it was the philosopher who contemplated about science and mathematics who was released from the wheel of life. They also practised vegetarianism).
Just because it wasn't deliberate doesn't mean it is annoying, though.