Of course, one could take it literally, too: The afterlife for neutrals isn’t good, because it’s neutral.
A lot of this depends on which version of D&D you’re playing. I’m not familiar with that podcast, or D&D5 in general, so I don’t know if the guy from that podcast is accurately describing the cosmos in that system or not. I’ve never heard, in previous editions, that the neutral planes were particularly unpleasant as a final resting place, so long as your alignment coincided with the plane’s alignment. If you’re lawful neutral, you feel very strongly that everything has its place, and that there’s a proper way to do everything. Mechanus would be a paradise for people like that. Likewise, someone who is chaotic neutral chafes at any sort of rule or restriction - a world entirely devoid of them, like Limbo, would be their ideal.
It’s also important to remember that we’re talking about dead people, here. A living chaotic neutral character would likely find Limbo dangerous and unpleasant. After he dies, and his spirit travels there? Not necessarily the same equation, any more. He’s not a human adrift in an alien realm, he’s a spirit returned to its natural environment. Otherwise, you have exactly the problem you described: if you know for a fact there’s a paradise, and only good people get to go in, why isn’t everyone good? It’s not like on Earth, where heaven is kind of an abstract idea, and nobody can really agree on what constitutes “good.” In D&D, the afterlife is a place you can visit on a day trip, and “Detect Evil” is a first level spell.
This problem becomes even worse when you apply it to hell.
Now, the rest of this is more homebrew, but I feel that the various hells should be treated the same way. Canonically, if you’re evil, when you die, you get turned into a dretch, or a nupperibo, or some other semi-sentient fiendish peon with no real power. With that fate indisputably waiting for you, why would anyone be evil? Particularly big, “raise an army of the dead and sack the city” evil. How can that possibly be a good - er, smart - idea?
So, my idea is, people in hell like being in hell. It’s a place where you can just torment the fuck out of anyone weaker than you, and nobody cares. Hell is how evil people think the entire world should be run - the strong victimize the weak, and no matter how weak you are, you can always find someone smaller.
Tied into this is the idea that, when you die, the more intensely you followed your alignment, the more powerful you become in the after life. A monk who spent his entire life in quiet contemplation of the divine and recopying holy books goes to heaven, but he’s basically just a little light there. The Paladin who led multiple crusades against the Dark Kingdom becomes something a bit more impressive. Similarly, the shopkeeper who cheats on his taxes and spreads racist rumors about dwarves ends up like these losers. The necromancer who plunges a kingdom into a thousand year dark age ends up more like this.
The thing I like about this is, it gives both an explanation for why people would be evil when they know for a fact that there’s a hell, and for the proliferation of fantasy antagonists who appear to be evil just for the sake of being evil. That guy isn’t committing mass human sacrifice just for the fun of it - he’s building up his afterlife cred for when some hero finally chops his head off.
A corollary to this is, at least in my campaigns, Raise Dead spells almost never work. Raise Dead and similar spells require that the dead person be willing to come back, and for the vast majority the deceased, regardless of their alignment, prefer to be in the afterlife over returning to the Prime Material, because every afterlife is a kind of paradise, at least to someone with the right alignment.
(Also, as an aside, I think you’re wrong about money not working in Mechanus. I’d expect Mechanus not only to have a robust monetary system, I’d expect it to be the most fantastically complex such system imaginable. Money implies rules, and Mechanus is literally a physical manifestation of law.)
For the same reason why, theologically speaking, people are evil (or just sinners) in real life: lust for power, pleasure, contempt for the weak, greed, yadda yadda. You grab your handfuls in this world and don’t think too hard about the next.
Of course, that works best for the rank-and-file evil. Harder to explain why someone would become a level 12 high priest (with the associated wisdom score) of some evil deity. In those cases, I assume that your evil high level PC/NPCs are gunning for some sort of special place in their nether afterlife. Surely the soul of a level 15 anti-paladin unholy knight has better value than as a 2HD demonling, eh? Plenty of lowlifes dying daily to turn into spawn that you don’t need to waste the good souls that way. Maybe those guys get to spend their days in a “paradise” of kicking around the dretches, torturing people, honor guard for demons, etc until they’re needed for some other purpose (like becoming a vampire in Stickworld).
Evil souls start off as peons, but it’s possible to climb the hierarchy (er, lowerarchy). Presumably, evil people think that they have what it takes to become barbed devils or vrocks or whatever.
Maybe he is talking more about the faithless. He has mentioned gods a few times. That would make sense. I thought he meant good-aligned gods.
(He’s really upset that one party member died without him being able to convert them. I won’t say more than that, lest anyone actually wants to give it a listen. It’s definitely not your typical campaign: though it’s people who are really playing, I’d say it more in common with Darths and Droids than other games I’ve seen. And the characters are just barely competent most of the time. (Rinaldo has notoriously bad luck with his dice.)
All I know is, my gut says maybe.
New strip up later today, according to Mr Burlew on Twitter.
But not yet…
Here it is:
Or more precise:
The last panel harkens back to “1d3 dire camels in a swamp”.
I think we needed a lighter strip. This was nice.
At first look this seems to be a throwaway strip, one that could be deleted with no effect on the overall plot. No plot advancement, and not a particularly funny joke. Maybe I’m wrong. Maybe the shortage of funds will become an issue later, and this will be important in retrospect. But for the moment I’m disappointed.
Besides, now that the crew has asked for money,which is basically making plans for afterward, their chances of surviving long enough to get it and spend it went way down.
They did establish that this deal will leave them without enough money to resurrect Durkon. I’m pretty sure that’s important.
But, also, character development is also a big deal. Plot without character gets boring. You need ebbs and flows in all aspects.
And I liked the joke, so there. 
I liked it, a nice fluffy joke about some silliness in D&D. I’d like to see more of this kinfd of strip interspersed with plot-heavy ones.
There’s nothing wrong with a gag strip. But I think this one did a little more. Roy is operating a much higher level than he did a week ago when they were in the desert. All the characters have really leveled up. I suspect that Burlew will have them address their upcoming challenges with intelligence and competence. Which is a new thing for the Order. And a little different for a fiction writer: Rich is establishing different sorts of characters nearer to the beginning of a story arc than the end. Not atypical for RPGs though, or so I imagine.
As you alluded to, one key aspect is the deliberateness and intelligence of the choice. It’s refreshing when a story doesn’t just tell the reader to follow their heart.
Heh. Nose-fur-atu. 
Greg.
Who else is mentally trying to figure out who suggested what name?