The comic also hammers over and over again that everything is a lie and there are actually no rules to literally anything.
I think that doctrine* is meant in the assassin's creed way where its supposed to open your mind by stripping away assumptions. The world may be built on illusions, but if you choose to cut your own path then the consequences will be real
to you. Its not like they're telling you to go out and do whatever you want; while the religion is fractured, the common theme seems to be that you look inward to change yourself, then you look outward to change the world once you're ready. Like in the three tales about Aesma, whenever Aesma actually did something she would alter her own form. What makes Aesma a fool is that she has no permanent form and she never truly changes as a person. This makes YISUN like her, while he dislikes the 3 masters because they've become entirely rigid in their thinking. YISUN considers the whole sordid affair a win because he causes each of the masters to change, even tho to you and me it pretty much looks like bad changes. He destroyed their assumptions, for better or worse.
Its also about moral relativism I suspect? Anything anyone can build is a lie. Thus, just as the world can be fluid and malleable to you, everything about you is fluid and malleable to others. So we can see this with Cio, where she's attempted to define her own identity in violation of the established norms for devils. But its not that simple because she's not the only person in the world. People like Oscar and "Myself" and her ex-husband also don't have to follow rules, including hers. This is why Cio needs Allison so much. Its also why the black emperors we've met so far have been miserable; they can cut their own path all they want, but they can't get other people to walk it. I guess in the USA the takeaway most people have from moral relativism is "you have to act as if other people might be correct." In this fictional religion the takeaway seems to be "you have to let other people into your life." Or alternately "to ignore the desires of others is to ignore your own desires, to ignore the feelings of others is to ignore your own feelings, for we are all YISUN."
*I don't remember what the fictional religion is called or if its even been named in the comic proper