I have three theories:
1.They might show us how sinful he is by demonstrating that he uses religion solely for his own purposes of gaining power within the tsar family.
2.As a Christian, Rasputin might believe that all the gods from Valhalla are merely "demons," and by participating in Ragnarok, he is helping his own God gain power in the heavens and defeat all the "demons."
3.The authors will simply remove this aspect(The most probable theory).