I've enjoyed the show. That said:
If we're going to believe that all of this stuff is happening in his head, and that there's no supernatural element to it whatsoever, then we have to somehow rationalize the fact he's survived multiple deaths. I mean...he got shot in the fucking chest.
If we are going to believe that he somehow could not die, despite the fact that everyone else can, then we are naturally going to look for meaning in that, other than the fact that he's just the main character in a show. If we cannot find meaning in that, then we can't find consistency in the storytelling.
I'm not going to judge the complete product until it's finished, but I'm worried it's not going to clear up these inconsistencies....which I guess you can say is the "whole point of the show" in that miraculous things happen for no reason (departure), but to me that's a pretty damn lazy point to make, especially if you're going to spend 3 seasons on it. I would hope that the show has a greater point to make than that.