I'm not going to speculate too much, since it's clearly key to the plot, but my guess is that he "does something wrong" like actually stealing his persona or taking something from the Igor/Philemon world that doesn't belong to him. The game's plot then centers around him being put in "mental prison" (Read: The Velvet Room), and Igor acts as his "parole officer" of sorts that guides him to being being released from this mental prison. This is probably tied into why he has to go on crazy capers, it's as much to help himself as it is to solve the overall greater goal of the plot. If he doesn't aid Igor or put right what he did wrong, he'll be locked in the mental prison for life.
I'm sure it will be a metaphor for the fact that he has such a dual personality, docile by day and brazen by night, and eventually just accepting his place in life and coming to terms with who he is. That's about on par for the whole "velvet room" journey motif. The game will end with him being released from this prison, having been mentally "rehabilitated" by Igor/Philemon's philosophies.