The fluff is there to help you as the DM build a coherent fictional world.
First, without any explanation even to the GM, "there's a bearded devil with an intelligent glaive in a cell" seems to not make a lot of sense. "But why didn't they disarm him?" "These guys are devils, why is a devil in a cell?" etc. PCs tend to investigate things and want to know "why," so many times when they do I go to the fluff and let them uncover some of it, it builds the sense in them that the world is a logical one and it's not, as in 1e sometimes, "a huge dragon in a room with only 5' corridors going out of it." Frankly, even if they don't ask, by comforting you the GM that there is a reason (instead of just having a list of rooms with a monster listed in each) it makes you more confident in the game's fiction as well.
Second, they try to do this when there is a chance the PCs will interact with a NPC. In this case, they are in a cell, and can be spoken with without opening the cell door (in fact I am not sure why someone would open the door...). In cases like that, it's nice to have something to hang your hat on. (Not to harp on this specific encounter because you're asking in general, but it just says he's "mad" and "full of rage," it does NOT say he attacks the PCs on sight, which means he could potentially be enlisted as an ally against the villain - a crazy, evil ally, but hey). And don't forget they then get his intelligent glaive, which was a witness to those events. "Hey glaive what was the deal with that guy? "Uhhh...." Or maybe they capture someone else, a guard or whatnot, or they free someone else, and ask them "what was the deal with that devil down there..." There are many, many mouths information like this can issue from.
Third, even a detailed AP is meant to only be the starting off point for your own game. You are expected to expand on it, change it up, mash it up with other stuff, alter it to incorporate your own plots and characters, etc. By adding a little more info to the characters (in the case of the Howling Fiend, the fluff is exactly two sentences long) it provides a plethora of additional expansion hooks that a GM can use during adventure planning. When another devil shows up later, maybe he's not just a random encounter, maybe he's looking for his buddy Szasmir who went MIA a long time ago and now the PCs have a glaive that reeks of him.
Anyway, the actual killing of monsters and NPCs forms a reasonably small part of the overall action in a game of Pathfinder, the investigation and roleplay and all that form a huge part as well, and the fluff is there to fuel it.
Complete Divine (pages 129 - 130) is the 3.5 supplement that covers this. It suggests that, as a default, the following is true:
When you come back to the world of the living, you remember in general terms what the afterlife was like, but your memories have a vague, dreamlike quality and you’re unable to recall the specifics of events. Whether the afterlife was torment or bliss to you, you have a good idea of what to expect should you die again—unless you alter your behavior markedly enough to change your alignment.
Again, this is just the base suggestion for the default setting, but is probably the closest to a definitive answer you'll find for 3.5 in general. Specific settings might have their own rules.
Best Answer
The Paladin's mount in Pathfinder is treated as if it were a Druid's Animal Companion where the Paladin's level is used as Druid level for determining stats, etc. As I understand it, the mount is a normal beast that is raised to higher Intelligence by Divine Power and not an extraplanar creature.
The ability to call the mount to your side notably does not use the word summon but instead uses the phrase magically call and, as it is not an extraplanar creature, it therefore cannot be banished.
So, as to where the mount is before you call it: Wherever you left it. The mount is being called to your side from wherever it currently is, and where it is depends on the last place you saw it. Did you leave it outside the dungeon? Tie it up in the stables in town? Send it on an epic quest to retrieve The Holy Grail? That is the location the mount is being called from.