"Consuming the Heavenly Record.
In order to speak of the Heavenly Record, it is first necessary to explain what it is.
The Heavenly Record, stated simply, is the world's vessel; the world itself.
On the top of the Heavenly Record, there are various other recorded things which comprise this world, as well as a type of intelligent life.
It is a conceptual thing; for example, Yogiri and the others appear in the Heavenly Record for the universe of their original world, but for the world they are in now, they appear on the ground and sea directly on top of the Heavenly Record."
There exist countless other Heavenly Records, and those Heavenly Records are contained within a space referred to as the "Sea". A Heavenly Record is like a bubble floating within this "Sea".
~Volume 3, chapter 3
Well, just with that, we can see that a Heavenly Record is a conceptual thing, and the HRE can destroy in a single shot, thus granting him conceptual destruction. The heavenly records are like the bubbles in a giant Sea. The HRE swims on that Sea, eating any heavenly record/space-time in it's way.
"Incidentally, since it can be compared to the sea, there is also depth within this space. It is simple to come and go between Heavenly Records with the same depth, and it is also easy to move to lower Heavenly Records. However, problems arise when you try to move to a higher Heavenly Record.
In such a case, it becomes necessary to apply vast amounts of energy to move between those Heavenly Records. That is one of the reasons why Yogiri and others can't return to their former world easily."
~Volume 3, Chapter 3
Every Heavenly Record is a parallel universe continuum. Yogiri was BFR'd from a Heavenly Record to another, and he is now trying to go back to his original universe/world