I find it easier, given the context of "cynicism in loss" that seems so fitting, to interpret that the reason "Pilgrimage" elicits the ridiculous circus marching band image against the serious implications of its title is to call out the idea as farcical. "Even Deeper" indicates the narrator is lost, and rather than finding solace in the idea of using the opportunity to go on a pilgrimage to come to terms with his creator (or whatever), he finds the whole idea to be a joke.

Makes me wonder what that creates as context for the statement in "No, You Don't."