Across the multiverse, there are many versions of many beings, each existing independently of each other. They may share similarities, or they may be complete opposites, but each is their own unique individual. However, there are a handful of beings of which there is only one, a single entity without a counterpart in the multiverse. Traditionally of great significance, these beings may exist across multiple universes (even all universes) simultaneously yet remain a single individual (as does Primus) or they may only reside in one universe at a time but have the ability to move from universe to universe at will (as does Unicron).
The complex nature of the multiverse demands much from singular creatures like The Fallen, Primus, Unicron, the Dynasty of Primes, etc. These beings are of a fundamentally different nature from regular individuals, who are repeated endlessly throughout the infinite variation of creation. They must be designed or evolved to deal with certain situations that would drive lesser beings mad.
First of all, time flows differently from dimension to dimension. By necessity, this makes it possible for creatures like The Fallen to appear to exist in two places at the same time. Second, whole new universes are spawned every moment by the resolution of quantum uncertainty. Most of these universes are dead ends that exist for only a few seconds or minutes at most, and encompass only a few critical moments. Therefore, at certain critical junctures, The Fallen becomes a quantum event, experiencing two or more possible outcomes at once, until one of those outcomes proves to be a dead end and collapses. The Fallen then reverts back to the "real" universe. Every story has dozens or hundreds of endings we never see. But the Fallen sees them.
One of the side effects of the Fallen's quantum nature is that his appearance changes slightly from dimension to dimension, based on the expectations of others, and the unique history he has (or has not) established in a particular dimension. He is also bound by the "rules" (gravity, magnetism, etc.) of any dimension in which appears – many of which rules he may have actually helped shape when the multiverse was young. So if time flows backwards in a certain dimension, he is bound to live and experience – forgetting as he goes along – everything backwards.
Smart and savvy dimensional travelers spend time in reverse timescale dimensions, slow-time dimensions, or dimensions in which time does not move at all. This ensures that even if they are "killed", they continue to exist. As you can see, the idea of sequential experience as you and I understand it is pretty meaningless to guys like The Fallen. He does experience all these things, but his mind operates on a higher order so all of this stuff totally makes sense to him.