"It's a magical place" clearly means they snatched Phil back from Valhalla or that Stephen Strange was involved, I think. Betting on Strange since they are doing a movie later; they could launch it from the show!
Or possibly Phil's soul got sucked into the staff? I feel like I've read all these options.
Anyway. Liked the show. Willing to love it as they go on; they have three main women, all distinct from each other, one of whom can destroy you with a pencil. I do like that.