Death's domain is not the afterlife. You can just hang out in Death's mansion and meet people and stuff. It's not paradise, but it's a perfectly fine place to be. The afterlife seems to be some kind of infinite desert where you're alone for who knows how long until you figure out how to talk to the other people wandering it. It's also mentioned that the afterlife is what you expect it to be, so if you grew up believing that you'd go to hell for some minor thing you did, sucks to be you.