When it comes to Theodor-Phillip, it's important to separate what he *thinks* he is and what is actually going on.

He sees himself as this "Forest Merry Spirit", an eternal entity that possesses body after body and needs physical form as a vessel.
This is only a response to traumatic events he witnessed as a fawn. Many fawns lose their mothers at a young age, and Theo wasn't an exception. The picture of a dead doe he beloved shocked the guy, but he was still too little to proceed those feelings.
He just kinda... moved on. Surviving was his top priority, and slowly but surely the grief was supressed. That's when the whole Forest Spirit thing started.
Instead of considering himself an orphan on his own, Theo decided to be optimistic and say he's a child of the Forest. That is also the reason why he sees Forest as a female. Being her ambassador gives Brother Theo a meaning in life, which he otherwise would've lost long time ago. "What do you do if you *don't* make everyone happy all the time", right?
Of course he does not possess multiple bodies: it's just a dissosiation from fatigue he gets from time to time (it's not easy dancing that much!). He might even realize that. But what harm does that little play pretend make? So what if it's not real -- it sooths him and then he does good deeds to others.

In the end does ot really matter if you're a Forest Spirit or just some random deer?