Another case of not everything is didactic. Everyone seems to think that everything in the game has a really deep symbolic meaning.
But imagine, if you will, that the plot makes no sense whatsoever, and anything that seems to be coherent about it is all in your head. Suda51 has stated that the inspiration for the game was the entirely bizarre and nonsensical movie El Topo, which was never supposed to make any sense, but involves a gun slinger taking out other assassins.
So basically, he's stated that No More Heroes, like El Topo, isn't supposed to make sense.