I kind of see it as a sort of "Telltale Heart." That Stannis really DOES feel bad that his brother is dead. That's how I read his conversation with Davos in CoK.

I have a feeling if he does end up coming back somehow, it will end up being like Dondarrion and Catelyn. The Lord of Light religion thing is really vague at times. That and I really need to reread SoS.