Ralsei just can't be an item Kris carries around. If he was, it wouldn't have taken him so long to step in in the second sanctuary, especially since he wants to hide the prophecy from Kris and Suzie. Whatever Ralsei is, he needs to be something that explains how he's allowed to operate in all dark worlds, and that it takes him actual time to get from one dark world to the next.
I think Ralsei may be an actual living being, but he only has a comprehensive and usable form in dark worlds. It'd explain why he can just freely fuck off to other dark worlds. If he needed to walk back to the school to re-enter that dark world to find out Susie made second sanctuary, it might also explain why it took so long for him to appear despite first and second sanctuary being in the exact same location.