Officially, Odin sends his best warriors to Valheim. Says so in the opening sequence.

But I think I agree more with your theory. We're probably the rich kids who don't have a lot of fighting experience, but since we come from good families, Odin wants to give us another chance, while reminding the monsters who's boss. Two birds one stone. It would be embarrassing for us to show up in Valhalla with no good stories to tell. And if we don't make it, well, too bad, we had our chance.

But we seem to be able to die and come right back repeatedly here. We probably only become monsters if we lose heart and stop trying to fulfill our mission, or start hating Odin for dumping us here.