Oh, I like that spin. Nobody is the villain in their own story. For example, Dr Doom's (or Commander EU :P) reign over Latveria seems almost too good under certain writers. It looks like it's the Fantastic Four who are the bad guys for not letting the guy to rule the world… because Doom took a shitty country and changed it into a really neat place to live. On the other hand, they never really change that much. It's a struggle that perpetuates itself and the good guys will always be matched by a not-too-powerful villain, so that their battle will last forever. Some heroes gather together to fight similar coalitions of villains. This is honestly only "and upon each death they will rise again to fight glorious battles, feast and rejoice with their kind" from being Valhalla. That however goes into Inception territory when remembering that Avengers actually have a Valhalla on their own. :D
This idea is fun and creative. My original comment was a bit flippant. However, I do feel like it did bring up an issue in combining comic book characters with belief systems of people in real life that has impact on their actions. Separating the world into good and evil characters doesn't reflect real life and real people. The characters in the comics are personifications of concepts. No person is just good or just evil. I'm sure no one here is trying to pretend that this reflects real life and that this is just a fun thought experiment. However, having the purgatory concept itself is one of the ways that people over the years have justified villifying people. They can pretend that there are good and bad people. In order for there to be pure villains, you'd have to assume perfect knowledge, perfect experience, perfect ability and perfect free will. No one has that. When comics turn into movies, sometimes the villains get more fleshed out and people can relate to them better. That's sometimes when it's less fun to villify them. Mixing caricatures of good and evil with the real life belief of some people in the concept of purgatory has me a little uneasy that people might actually think that it might be an accurate reflection of real life. It is not.
I don't think you have too much to worry about. For one, superhero comics tend to be a little lacking in subtlety and I think that gives them some of their charm. It might even be a trope (though the term is a bit nebulous to me). So when you have a very binary heroes=good and villians=bad style of storytelling, it works based on that alone. Because they're hero stories and because they're simplistic, chances are they won't be taken to seriously by their readers. In order for there to be pure villains, you'd have to assume perfect knowledge, perfect experience, perfect ability and perfect free will. No one has that. There are a few different ways to approach this, theologically, but I think in its most simple form, purgatory is a place where souls are awaiting to ascend into heaven and any suffering that takes place (if there is suffering in purgatory) is temporary. Therefore any person who is in purgatory cannot be at their core evil, because if they were they wouldn't be there in the first place. Personally, I kind of like that metaphor because that would mean even the worse of the villians in superhero comics will eventually be spiritually cleansed and will eventually go to heaven. It creates another layer to the story where anyone can redeem themselves, no matter how serious or how numerous their past mistakes.However, having the purgatory concept itself is one of the ways that people over the years have justified villifying people. They can pretend that there are good and bad people.