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Short version:
Underlords/overlords have a dual nature. When they are killed in one role they go back to the aether and become the other. There was a previous war where the Empire was nearly destroyed but Oberon was repulsed. He thus became an overseer but Kira sent him as an undercover agent pretending to be an underlord and then saving him at the last minute.
It is not explained well so it is not your fault. I am personally not a fan of the lore.
In short it's about an evil God Mendechaus who wanted to destroy humans ( Empire ) but due to him being incorporeal ( basically without a physical form ) he had to employ the ''medium''. Those mediums are either Underlords or Overseers, depending on who had summoned them. The good Goddess, Kira is very poorly described ( almost non-existent ) as well as no Overseer is present at all ( like not a single one ) so evil God Mendechaus with help of Underlord Oberon ( silent protagonist ) went from one land to another, slaughtering empire units, rescuing or defeating other Underlords and having an ultimate goal of slaying the ruler of Empire - Emperor Lucius. Protagonist, you, play the role of the puppet who has no personal say in any form so you do go around and fulfill your master's plan, though it is hinted that you are actually the former Overseer, who was ''released'' by Goddess Kira for the reasons unknown and become the servant of God Mendechaus. While you are busy causing chaos on surface, some of Empire ''magicians'', presumably with the help of Goddess Kira or her priestesses, participate in creation of Aum, possibly an artifact or ritual which will grant the entity insane powers and make it super strong. When it is revealed to Mendechaus, he decides to make his servant, you, strong enough to oppose that thing by snatching Kenos from Empire. During the siege of the castle where Kenos is located, you are accompanied by another Underlord, Mira, who ends up snatching the artifact from you. Upon her defeat, the Kenos is regained but other three Underlords ( Draven, Kasita, Korvek ) try to oppose you only to be smacked to the ground because Kenos grants you too much power. The final mission is you with the power of Kenos clashing against Emperor Lucius with the power of Aum. Deranged Emperor isn't much of the challenge to you, however it is later revealed that it was all a trick - for some ''reason'' God Mendechaus wanted an ultimate puppet so when Emperor is defeated he is ''magically'' teleported to your main dungeon ( Home Realm ) where he destroys your core there, effectively ''killing'' you. Your master reveals his plan, implying you outlived the usefulness and there's no need for you anymore. You die and return to the place called Aether, which is something like a purgatory for Underlords and Overseers. The ending scene reveals you being in that place with Kira greeting you, which indicates that you did your job as she wanted from the start.
HoG is the DLC which is the continuation of the story. There you assume the role of Kasita, an underlord whom you clashed with before in main game. Since her core in home realm was not destroyed, she was never banished and thus stayed ''alive''. It is revealed that something went wrong with Emperor and he ''detonated'', thus leaving Mendechaus with no toy to play with. With new puppet, he intends to finally ''finish'' of whatever is left of Empire and marches towards a rich Duke and his realm with one sole intention - slay everyone and obtain the Heart of Gold, the source of unlimited gold. It's likely the heart itself is the prize that Kasita did desire since she is kinda obsessed with gold in general while Mendechaus seem to have a hatred towards Empire for his own reason. Upon going through that realm you will slay members of Duke's family, search for required artifacts, mine gold and eventually construct the Colossus ( the walking Gold Golem ) who will help you decimate your enemies and turn them into gold. When Duke and his family members are done, Mendechaus finally states that he is satisfied and does release Kasita from his service, allowing her to keep the Colossus. Unlike Oberon, she does not ''die'' and gets the ''happy ending'' of sort.
Undergames is another DLC which is the prequel of the main story. Before event of Oberon, evil God Mendechaus decides to organize some sort of tournament between numerous Underlords ( you can see many names on the board with corresponding statues, yet lots of them are pretty much unplayable and serve as placeholders ) for a single goal - use the winner as his personal puppet and march against Empire ( what he did with Oberon ). You will meet some old Underlords from main game as well as few new ones like Shale, Zeam, Lamash, Volta. There's little to no story about these underlords, except few hidden bits, like hatred between Shale and Lamash, basically insignificant bits. Regardless of whom you pick out of 4 underlords of your choice, it is eventually revealed to you that for whatever ''idea'' Mendechaus had a favorite one, Oberon ( former protagonist ) who canonically has won the said tournament and played his part in main story. When you beat him the cut-scene shows you being in Oberon's place during main campaign, although it is not implied that you've met the same end as he did, though the Empire lands are displayed as razed completely.
To sum it all up - don't bother about the story at all. It was likely made by different people and stiched together just for the sake of being there. It isn't that ''thrilling'' and there still are plenty of questions about why certain things did happen the way they did or at all but that is what it is.
And I think Oberon is a sleeper agent, not a secret one?
If you oversimplify things:
You are Oberon, sleeper agent of Kira.
Kira good god, want emperor luzius dead.
Mechandas bad god, want empire dead.
Emperor Luzius want to become a god.
You kill humans, because you get told to.
You destroy cores of underlords and overseer, because they don't like you.
You rescue an underlord from the dwarfs, because reasons.
Dwarfs want this underlord dead, because reasons.
You make fun of the acients for the lolz.
Than u want snatch a shiny thing, but it get snatched infront of your eyes by Mira.
Mira get slapped so hard that she died.
You bully 3 underlords.
You kill emperor lizius.
Luzius turns into supersayan, Mechandas wants you dead for reasons.
Kira said no.
You are an Overseer
Marcus is certainly an underlord ( even game objective states that ).
Oberon is an underlord during the main story campaign. To be honest, since there was not a single Overseer displayed in the game, there's no real difference between Underlord / Overseer, so far it's merely a title and allegiance to either Kira or Mendechaus.
Kira's desire to have Lucius dead makes no sense at all, considering that Empire doesn't pose any threat neither to her nor to Overseers ( yes they don't exist but let's assume they did ) as well as the fact that Empire's generals ( Dwarves, Lords ) clearly hate underlords and underworld creatures, making them potential allies to Kira and enemies of Mendechaus, whom as we know does despise Empire already. Additionally, the destruction of Empire grants Kira no personal gain in any way.
Lucius might be an ambitious sort but his main goal was to become godlike, but not the actual God himself. It's very likely he would never ascend to godhood in the first place and I'm more than sure both Mendechaus and Kira never saw him as the real threat to themselves personally. For Mendechaus he was a potential toy / target where for Kira he was just a spoiled child who's tantrum would only lead to his own destruction, which ultimately it did.
Dwarven Brotherhood, Lords, Generals are pretty much a fodder. They serve to Emperor and share his hatred towards underlords, yet it's obvious that they are insignificant and end up dispatched by Oberon. Their role is to delay the destruction of Empire and the fall of their leader, they are not capable of doing anything else.
Ending makes little sense from Mendechaus's side while from Kira's side it has a simple logical explanation.
Unless it was stated somewhere ( not sure ) that Overpowered Lucius could be controlled only upon being defeated, there was 0 reason for him to pit his most powerful asset, Oberon, against another potential asset, Lucius himself. Their clash resulted into death of Oberon by the hand of Lucius who eventually also ended up destroyed. Even if Mendechaus wanted to humiliate Empire even more, there was no real reason to lose both Oberon and Lucius, unless he didn't know what would happen to the later one. In other words, it's a cliche thing were villain suddenly becomes stupid and loses his most powerful weapon for no logical reason.
As for Kira, she gave Mendechaus a tool to get other underlords either banished or destroyed entirely ( Marcus, Rhaskos, Mira, Draven, Kasita, Korvek ) with Empire in general being the ''trivial sacrifice'' that she could pretty much afford to. In other words Mendechaus did a favor to Kira by having other underlords kicked out with help of Kira's servant. Still, there's a question of why Oberon was Mendechaus's favorite during Undergames in the first place, as well as what did happen after Oberon's canonical victory in Undergames? As we can recall, the main story begins with Oberon being released from Kira and then being summoned by Mendechaus. The transition between Underlord and Overseer isn't explained well so I doubt one can be both Underlord and Overseer at the same time, I also doubt Oberon could maintain any contact with Kira while being employed by Mendechaus.
There is also a ''plot hole'' that needs to be addressed - when you win Undergames, the cutscene implies that very soon after that, you ( regardless of whom you played as ) march on surface and do Oberon's job. Since canonically Oberon won the tournament, by the logic, he should had been the one who'd been marched on surface, however we start the main game from being released by Kira with Mendechaus stating that he has recruited us for his crusade. What has happened to Oberon after he won the tournament? How he got destroyed? How he was recruited by Kira and what did he do while being under her command? Too many events in short period of time.
As I said before, story is the work of many writers who worked at different period of time, thus so many inconsistencies. Kira and Overseers aren't described properly, the story is given to a player in a manner of random pieces sewn together with large chunks missing here and there.
Just finished the last mission and, imo, it makes sense for Mendechaus to get rid of Oberon, who, as player can see through the way Mendechaus speaks to them, isn't exactly a witless puppet like Lucius. He was already burnt with Kenos, with one Underlord he considered loyal going rogue even before unlocking its power, so I wouldn't either be chancing it with Aum, especially that Oberon would end up with both artifacts. The way I understand the ending, I assume the clash ended up "freeing" Oberon to do whatever Kira planned for them, but that was secondary to destroying both artifacts, something Mendechaus didn't necessarily expect to happen?
I don't have the DLCs so I haven't touched them, but from seeing cinematics for Under Games, the way it reads to me, is that maybe the War for the Overworld that ends it and the one in the main game aren't the same? Mendechaus mentions the Empire is led by Uther, but that Emperor is dead by the time Oberon gets there, so maybe the first war went bad and old boy Mendie had to fall back to plan B and get Oberon back on the line.
Aum was already inside Emperor so by no means Oberon could take it. Getting rid of Oberon using Emperor wasn't needed because Oberon was already under solid control of Mendechaus, hence he had 2 puppets obeying his will. Mira's betrayal is not surprising - she, unlike Oberon had her will free from the start despite being Underlord. If you look at the order of things, you can notice that it literally takes no effort to ditch any God and go rogue at any desired period of time. If Oberon had any sense of mind or was indeed aware of ''being Kira's'' agent, then he would had forsaken Mendechaus after taking Kenos and defeating Draven, Korvek and Kasita. Technically, he was the strongest Underlord at that point, should he gone AWOL, there would be no one Mendechaus could recruit with capacity to oppose Oberon.
As for the case where Emperor himself would attack Oberon - it would take eons for him to reach Oberon's home realm on his own. There are high chances Emperor would go rampart and destroy Empire by himself or cause more damage on his own due to inability to contain himself. Remaining underlords would have a common sense to stay away from both Oberon with Kenos and Emperor with Aum.
To sum up - the ending is a forced cliche made in the easiest and quickest way. It makes no sense in terms of logic and shouldn't be considered seriously.
The way I see it, during Under Games Oberon is still Mendechaus' favourite pet, War for the Overworld led by winner of Under Games is not the same as in the main campaign (as Mendechaus says it's against Empire led by Uther) and goes wrong. In the meantime disappointed Oberon is possibly recruited or otherwise approached by Kira, but before anything happens gets interecepted for Round 2 by Mendechaus and brainwashed to the empty slate (hence why he's suddenly interecepted at the opening of campaign and needs to be taught everything), with vague memories of his loyalty.
Lucius is ordered to destroy Oberon to retrieve the Kenos, so I assume that by destroying Lucius, Oberon would be able to claim the Aum and Mendechaus just chose a puppet he was certain of to have both, to finally fulfil his goal of being petty about Kira.
I wonder how much is additionally revealed by visiting home realm after each mission, as I discovered too late that Mendechaus will welcome you with relevant flavour text.
Those who are under command of either Mendechaus or Kira certainly have little to no freedom of their own. The relationship with Gods is more akin to pact - servitude in exchange for reward. Neither Oberon nor Kasita ( DLC HoG ) can disobey Mendechaus at any point of the game which explains why they are ''thrown'' at whatever their Master sees as the threat and they have no choice to decide who to kill or spare.
Lucius isn't ordered by anyone, he is an ambitious tyrant with hatred towards Underworld and God of Chaos. While there's little said about the ''First War'' it's known that Underlords are responsible for it and his father, Uther, had to deal with consequences. It's safe to say it runs in family, with only difference is Lucius is willing to win by any means necessary.
There is no explanation on what has happened to Oberon after his cannon victory in Undergames. There's a mystery but one can speculate that Oberon was in Kira's servitude at some point. What did she do to him is unknown. He then gets ''released'' and summoned by Mendechaus.
Skirmish lines are not related to the story timeline. You shouldn't take them into account when considering allegiances or loyalties to and between characters.
Oberon was ''guided'' towards Kenos only because Mendechaus has witnessed the fate of Rhaskos. Fearing the same would had happen again, Mendechaus urgently turned his gaze towards means of protecting his biggest asset, hence why the siege on Arcane Fortress took place. Mira was ''invited'' there to assist Oberon though it isn't mentioned as what her prize would be. We aren't told much about how Mira and Mendechaus worked together, only Mendechaus mentioning that she is one of ''Elders'' whom he has known for long time. It's also safe to assume she was not aware of ''the plan'' though it's likely that she would have a faint idea as to why Chaos God and his protege are attacking such fortification. It would explain why she decided to steal Kenos - the power it grants is far more rewarding than whatever she ''could'' be promised of, also her bold behavior shows she was not afraid to anger Mendechaus and was quite confident she could handle Oberon if Kenos's power would feed her core instead. This fact alone proves 2 things : owner of Kenos can stay safe from Chaos God's Wrath, Kenos grants enough power to establish own rule.
Aum can't be taken by Underlords. It's the creation of forces of Light and is likely meant to be used as weapon that hinders them ( Rhaskos was reduced to the lowest point by it ). Kenos on the other hand can be as it is stored in ''Dummy'' inside of Arcane Fortress. That ''Dummy'' shows no sign of mind on it's own and does not react in any way when in danger, it is instead protected by guards. Only upon it's destruction the Kenos can be extracted and ''installed'' into Underlord's core.
Aum was absorbed by Emperor Lucius as means of becoming a super weapon. You can see how much it had affected him in last level of campaign. Clearly if Emperor could, he would had taken both Kenos and Aum but that didn't happen. Again the mechanics of Aum and Kenos aren't fully explained, I'm only speculating from how these artifacts played their roles in main campaign.