So I should do this while it’s fresh in my mind, and in context of the after-action chat we all had. Plus the final Tale made me feel a bit better about things, so there’s that.
I think part of my general dissatisfaction came from the way the Muse works, which is basically using Sway on everything (for ends good and bad). The circumstances to apply that were kind of limited early days (as much by my imagination as anything else). It did kind of make him a one trick pony; Damien was good at casual interludes, but in a more conventional conflict (“We’re being attacked by tactical sharks!”) he felt much more limited (esp. with a starting Prowess of -1).
(And, yes, Failure leads to Interesting Stuff, and Demigod Prowess, even at -1, is theoretically a big deal. I just still felt limited.)
There was also always this feeling that the character as I wrote him up (and which the playbook reinforced) was a bit of a wastrel; that one of his Thread gainers was “Seduce someone” was kind of discomfiting. In part I didn’t really grok that aspect until we were in flight (Muse was my second choice, but Margie had a really cool concept for Reaper, which was my first, so I was happy to let her have it); that’s my fault for not picking a character / concept I could feel more comfortable with.
As a player, I often have problems with wanting understood limitations around my character and what they can do, and that’s exacerbated by having a writerly interest in characters that, themselves, have (non-rule-based) limitations. That mindset doesn’t lend itself well to characters who are, by definition, divine and theoretically unlimited. I don’t know if it’s a limit of my imagination, or my feeling that pursuing that sort of thing feels like cheating or exploiting the rules or being a sloppy writer, but it never quite clicked all the way for me.
I also tend to need a number of sessions to really figure out how to make a character work. Five in this case. 
For all the game tries to bind the characters together through Tangles (and Tangle-focused advancement), it never really felt like it worked here. This arrangement felt like a bit more pushed version of the standard PBTA “define relationships in advance” mechanism; this mechanic feels like it should work, but often comes off as forcing characterization before gameplay reveals what the connections should be.
(There’s a thought: have each session end of such games actually include creating a new connection of that sort, based on the session’s activities, so that such connections can grow organically.)
(Some Thread mechanism to draw in the family/pantheon stuff would probably make sense for this game, too.)
If all the above feels too negative, I’m probably overstating things. I thought it was a great adventure, and the research that went into the scenarios was nicely done. I had problems finding a comfortable and useful way to act effectively as my character, in part because of how the playbook was set up, in part with how I instantiated it, and in part in how the story went along. There are definitely some lessons there for me to learn and apply for future games.