That's a good question! I've poked at the idea a couple times myself and I don't think the original development team had a consideration for it, whether or not Valhalla the planet served as the source for Earth's legends or whatnot. Sadly as that goes it gets relegated to the realm of fanfiction but it's a lot of fun to consider within that spectrum!
That being said, there's a script floating around that served as a draft for the webisodes that ended up getting scraped as the team favored a more simple concept based off of Swarm of the Marro lore. This draft script was uploaded to Heroscapers.com the moment I found it, so even though the original link may be lost, it's accessible there to peruse at your leisure!
Here's a link for easier access: https://www.heroscapers.com/community/downloads.php?do=file&id=3241
Tl;dr, in this draft it's seen that defeat of a character during combat results in the defeated individual pulled back through time and sent to their original dimension.
Once again, since the devs never elaborated on the concept, we can only speculate, but that webisode script was the closest we ever got to an actual response.
Cool thing to talk and discuss though! Heroscape's open-ended existence really gets the brain going, there's so much to consider!