The Oldest Dream & Kim Dokja's guilt.
Even if 100% kdj could've gone back with the Kimcom after their encounter with OD I highly doubt he would've been able to happily walk out of that train with them as if nothing happened. That kind of development was always impossible, bc kdj himself wouldn't DARE to imagine it after what he discovered when he met Oldest Dream.
He felt so much guilt that he couldn't and wouldn't be able to forgive himself, so that final act of heroism and salvation -stepping up as the OD and staying behind to maintain that world's existence- was also his self imposed punishment, and he needed that more than he needed his own happiness.
That's why the part of him that went back with the Kimcom was the half that didn't remember being OD. He wouldn't be able to look at his companions' faces knowing that all of the tragedies happened bc he dared to read some webnovel to escape his own.
And seeing things from his perspective, his reaction makes so much sense. Imagine you spend all of your time thinking and planning and trying to find a way out of hell for you and your dearest people just to find out you're "responsible" for their misery. That's tough. Even if nobody ever blamed him, it's like 99% impossible that he wouldn't blame himself.
It's commonly said in the fandom that kdj doesn't understand how loved he is, but I think things go a little more deep, bc kdj is no fool (at least the "rational" part of him lmao). He saw his friends sacrifice and fight for him, he heard them say and prove how much they cared for him, and he even felt guilty about how much his repeated deaths affected them, so he's very much aware of the FACT that he is loved and wanted. What I do think is that he refuses to accept all that love bc he thinks he doesn't deserve it after everything he has done.
He thinks he has to suffer and sacrifice himself eternally to atone for his original sin, and also due to his history of trauma, he has engraved in his mindset the thought that he's meant to be alone and separated from the world, that's how it's ought to be, so when the "narrative" had to form the ideal and ultimate torture scenario for him, it was exactly that.
And maybe it's up to interpretation, and this has an explanation inside the fantasy and world building (not up to that part of the Side Story but I've seen some mild spoilers). but that final part in which the Kimcom regressed together and crossed the whole 1865 worldline just for him, while he was reading almost simultaneously what was happening, that they were coming for him, to me personally felt very bittersweet, bc as much as he wanted to go back with them, he also wanted to stay firm in his decision of keeping himself away.
And that's exactly what he did. Him breaking into millions of pieces and scattering through universes to me feels like he -once again- ran away from his happiness. At least metaphorically speaking I believe it was meant to convey that in some way.
Maybe the "magical" consequence has its own explanation, but it also happened bc kdj himself wasn't able to "dream" an ending in which he didn't need to punish and isolate himself anymore.
And that's why the last attempt to bring him back was to reach all of his fragments and show them how he was seen from his companions eyes.
There are so much themes and symbols in orv that I find myself trying to interpret every single event in as much angles as possible. It is genuinely entertaining 'cause there are so many different approaches to this specific topic that could be made.
Btw this whole rant was inspired by this Twitter thread :D go give it a read if you want!