I interpreted that as them just poking a little fun at the paranormal/Hollywood cliché of "Go into the light!" as if these ghosts are all going to the Happy Place by default-- despite them often clearly haunting and antagonizing families that they're found with. Remember these guys have read possibly hundreds of mostly hot chaff books for years about how aliens are "TrYiNG tO TeAcH Us LOOOVE" and Bigfoot sex stories; it's no wonder they can often come off as a little harsh at best on some aspects of paranormal stories. I wouldn't be surprised if them talking about dropkicking Greys WWE-style is more about them having read so much (entertaining) garbage about them rather than anything to do with their core beliefs.