1. I don't know how much significance there is, but there's fan theory out there.
Valhalla is either the unseen realm, or the land between the seen and unseen realm. And that is linked to where the dead go. Valhalla is also described as a place where time and life/death don't work the same as they do in the real world.
The idea is that, you kill Caius in Valhalla, and Valhalla doesn't have the same rules about life and death, and therefore he didn't really die. Because you can't really die in a realm that doesn't have death.
It's loopy logic and it ignores the interview that says that "Caius might live on through chaos" but it's the best that we've got. And well, it would be weird to permanently kill someone in the land of the dead. Etros is a weird case.
2. "He plans to find her sleeping in her temple, kill her, and release the power."
Caius wants to break the world so one of the ways is to kill Etros. Etros is the god that is running Valhalla smoothly, so if she dies, Valhalla's "barriers" break down and chaos spills allover the real world. Etros has been losing power, and saving the team in FFXIII is the straw that broke the camel's back, so she was forced to "sleep" someplace hidden.
There's two ways to kill Etros, and that's either directly dispose of the body in person, or destroy the heart in him. But Caius has no direct control over destroying his heart, so he manipulates Noel into doing it, and when that fails at first he goes to Valhalla to take care of the problem directly. Etros summons Lightning and asks her to help protect Etros, which Lightning does.
So he plans to find Etros, who is sleeping because she used too much of her power, destroy her, breakdown the walls between the seen world and Valhalla, and release the power of chaos.