The realm of Purgatory was a spiritual limbo, a form of the Afterlife, and the destination of those who must face their sins and find peace, before moving onto a higher plane presumely Heaven. Not a lot is known about Purgatory other than it has no direct ties to the lower planes such as Hell, but is in a way connected to the higher planes. It was referred to as Heaven's Reception by Eurybus, a accurate portrayal.
The location was only shown once in the roleplay when Eurybus travelled there after his death, at the hands of his brother, Ramasus, who was possessed by insanity. Ramasus was later killed by The Writer to ensure he's no longer a threat. The brothers were reunited, with a hug, and finally found peace thus being able to move on.