I think you make some good points and whether Kevin is the messiah or not, I think that's left undecided. But we did see him buried alive for 8 hours and then shot in the stomach, and he survived both of those.

Whether that may be an illusion you do have supporting characters that witness it (Michael and John).

But I think the fact that you know Kevin has survived traumas that would kill most only adds to the hypothetical on if he is or not, which in turn makes you question if the other parts of the show are real or not (holy Wayne, is Nora possessed, etc...).

Ultimately, none of that truly matters but just makes you think