why the fuck is he going back to yule?

Well it's easy to answer that:because if he doesn't yule will hunt them down and who knows what he will do. He is a psycho, a real psycho based on his big bro's words. So maybe is better to go back to him before he does something. But i think is already too late. The mc has reached his end. His look on this last chp was so hard to look at. He is tired of everything, he just want to find peace but that's impossible as long yule exists, so the only thing that can do is either to try and find happiness with him or give an end. A literal end.