Pullman's diffusion of the souls of the dead had a (somewhat) peaceful feeling for me too. Which was disconcerting, considering Pullman's blatant anti-Christian polemic in the trilogy. Of course, Pullman is a good enough writer to set it up such that his "realm of the dead" is hopeless and dreary enough for a diffusion of the soul to be a sweet resolution.
In a sense, there is something more satisfying with Pullman's diffusion of the soul as
compared to the traditional western "bodily consistency through eternity", since, if you allow yourself to contemplate that continuance into eternity, it can be quite a fearsome, panicky thing to think about. I know that I have to stop myself and touch something four-square tangible in to stop feeling so out of control. So Pullman's idea of diffusing back into the matter of the universe, really, ceasing to exist as an individual, seems somewhat like falling asleep compared to the everlasting consciousness of Life Eternal.
(By the way, there's another thread not unlike what I've begun to talk about, called
Nebulous It and Absolutes.)
That said, Pullman's diffusion of the soul feels like a copout, an escape from reality as compared to most monotheist constructions.