So, this is just My thoughts on the ending of the 1st story. I don't know if hte mangaka intended this or not.
[SPOILER ALERT]
There's a part of inner monologue of Thanatos near the end, that mentions that shinigamis don't know what happens to the shinigami when they disappear. I think the shinigami actually DO disappear and there is no afterlife for them because NO ONE remembers them when they disappear. BUT, Thanatos's case is a little different, as he always watched over Asahi & protected him (just like a guardian angel would do, rather than a shinigami). That's why when he sacrificed his own soul in exchange for Asahi(when Asahi was dying) at the end, God(Their ?boss i guess??) gave him a gift to be with his loved one as a real guardian angel. I think God also took away his memories so that he could have a fresh start with Asahi. I also think, it's partly because Asahi did NOT forget him like others did, that he remained as a guardian angel.
Can someone explain to me the ending of the first story i got lost