It's simple: "stay away from the unknown". Don't become too analytical/adventurous/curious (curiosity killed the cat) because you're not always going to like what you find. In this case, Ziltoid didn't like that the Omnidimensional Creator had revealed to him "the true nature of his reality": that everyone including Ziltoid is just a puppet in some way. No matter what, you are being used by someone in some way, and because you didn't "stay away from the unknown", you've got to deal with this burden of knowing.
It's simple: "stay away from the unknown". Don't become too analytical/adventurous/curious (curiosity killed the cat) because you're not always going to like what you find. In this case, Ziltoid didn't like that the Omnidimensional Creator had revealed to him "the true nature of his reality": that everyone including Ziltoid is just a puppet in some way. No matter what, you are being used by someone in some way, and because you didn't "stay away from the unknown", you've got to deal with this burden of knowing.