This was right after Harkon died, and unlike the souls he died along with, he refused to accept the peace and comfort of his eternal rest (and considering his emotional state, he was in no shape or form to pass on anyway) and understandably wallowed in his pain and sadness from his traumatic death in purgatory till it was heard from his death god who took pity on him and offered him a deal

to his party and everyone else he meets, he loves to talk big about his heroic deeds and how awesome and heroic his death was, but it was a lot more sad and agonizing then he’d ever admit and prefers the gussy-up, hollywood-ifed hero’s tale he recites to everyone, and so far only the death goddess herself knows the real story