I loved this story! But then I am a tragic goth at heart, so it was just my sort of thing. I can't even promise I wouldn't have done exactly what Devigne did! I agree, though, that we're not supposed to read Devigne as a sympathetic character at all (unlike when, say, Lovecraft writes this sort of protagonist as an author-self-insert). That said, I feel like the critique of white male privilege could have been a bit more explicit. That's one of my only criticisms of the story really (and I think you raised it in the episode too) - Nesbit brings up a lot of issues, but we never really get a sense of how she feels about them. Maybe that's being a twenty-first-century reader reading a nineteenth-century story though.
For what it's worth, on the subject of class, I think through the story there's a critique of both the 'ignorant' lower classes who burn what they don't understand and the 'indolent' upper classes who waste their potential. And Glenn, on the historical accuracy of the witch burning, I feel like we just have to accept it for the sake of the story - it still kind of fits with the popular perception of the witch craze (the Devil painting a pre-Raphaelite portrait in the seventeenth century is oddly anachronistic too). There's a great weird prequel to be written about the learned seventeenth-century woman who delves deeper and deeper into occult knowledge and then sells her soul to the Devil. Although there's something almost anti-feminist about a such a strong female character selling her soul and giving up everything for the sake of love. Or maybe there isn't - that's how it seemed to me though.
On the metaphysics of re-incarnation, I didn't see this as a muddled issue actually. If we assume a basis in Christian theology, as the story seems to have (albeit inspired by Indian belief systems), it doesn't follow that belief in re-incarnation means belief that everyone gets re-incarnated. Re-incarnation (in the sense of coming back to Earth to live another life) isn't really part of Christian theology after all. So maybe in seventeenth-century England you have to make a satanic pact to be able to re-incarnate, and this is something the woman has discovered in her increasingly occult studies.
I know I sometimes complain about the abrupt and unsatisfying endings of some of these stories, but I'm going to defend this one. Devigne not having to make the choice of whether to sell his soul is the crux of the gothic tragedy. He now has to live a wholly mundane and unsatisfying life with a woman he doesn't really love love or appreciate instead of having Heaven on Earth with his soulmate - and he didn't even get a say in the matter, which makes it all even worse for someone of his self-importance. I do think he would have gone through with it though - it's easy to sell your soul when you don't believe in those sorts of things (even after being confronted by a woman emerging from a painting claiming to be your re-incarnated soulmate).
Finally, good timing for this episode to air during Women in Horror Month: https://www.womeninhorrormonth.com/