I like that the gods are finite. Especially since they didn't create the universe, but are just refugees from some alien reality. Gods with infinite power intervening in mortal affairs, from a purely gamist point of view, creates more headaches than solutions. In my campaign the gods are not able to intervene effectively against the Althans, because they hid their secrets so well (i.e. if you could conceal yourself from Kadaena or Utha then the gods can't find you either)
Local gods are great too. I just wonder where they come from are they spirits from other dimensions or are they a side effect of the essaence? I like the idea of things of great power being worshiped that have no sentience, but still power can be drawn from their veneration, like cults in Call of Cthulhu.
Between local deities, the Lords of Orhan, the Dark Gods, Agoth, & of course the Unlife Kulthea is a theological mess. I like that I could run an entire campaign based on killing a god in SW (say Klysus) and somehow even if the party managed such a feat they would find there are worse things lurking in the dark. Hell it could all be just a plot by Schrek or Ondoval to gain unimaginable power. Imagine the PC's horror at finding out they were serving a greater evil (as Agoth writhes through a rip in space/time created by the death of a god)