I'm not too familiar with the specific beliefs of the Temple of Set, but Satanists generally tend to see the universe as ruled by a divine tyrant against which they are in justified rebellion. I imagine him blinking awake on the astral plane and finding out that there's no divine tyrant, no overbearing celestial hierarchy, and the spirits who are there to welcome him chuckle and say, "Relax. The only person who's going to beat you up here is yourself."