I haven't seen the movie in ages, but I thought the theory was that he had to bring the artifact (jet engine) back from the tangent universe to the primary universe since he was the living receiver to prevent the universe from collapsing unto itself. Someone else did the same thing and lived and wrote a book about it, but was haunted and traumatized by the experience. Donnie decides to die via jet engine since his death will prevent his family from dieing as well as the girl he likes (and Frank I guess) because burning the pedo's house causes the domino effect. Also doesn't the pedo kill himself at the very end? Anyone close to the receiver will feel the aftereffects of the tangent universe, which I assume are similar to what Donnie felt (nightmares, hallucinations, etc.).