Yeah, the Aethyr isn't actually the warp; they're not true synonyms. Magic is invisible and supernatural, but physical; you can light a candle to attract a cloud of it, and then walk through that cloud and scatter it a bit if you aren't a suitable vessel for it. Spirits and Ghosts are invisible, but they aren't stuck on the other side of the reality/immaterium wall, which is why they can throw stuff around if they get mad.
So it's entirely possible for Halfling emotions to be both real and demonstrable, and also for them to tread lightly in the other realm. It doesn't mean they have no soul, it means that their soul isn't directly marinating in the OtherWorld.
When they die and pass on they can still form Ancestor Gods as normal, which is what all their gods are.