WRT the knife: I think there could be a distinction between killing them (can't return to Hell, instead goes to Monster afterlife, ie, purgatory) and killing them (wiping them out from all existence in all dimensions).
Like the AYRT, I always assumed the Colt killed things from all existence: "soul death" or however you want to put it, but the knife was a regular death. Like how people die and go to heaven or hell. With the knife, if you die as a demon, you go to purgatory like any monster, including former humans (vampires, etc.), which is why it doesn't send them back to hell.
Re: John's and Mary's absence from heaven (small spoilers)
WRT the knife: I think there could be a distinction between killing them (can't return to Hell, instead goes to Monster afterlife, ie, purgatory) and killing them (wiping them out from all existence in all dimensions).
Like the AYRT, I always assumed the Colt killed things from all existence: "soul death" or however you want to put it, but the knife was a regular death. Like how people die and go to heaven or hell. With the knife, if you die as a demon, you go to purgatory like any monster, including former humans (vampires, etc.), which is why it doesn't send them back to hell.