The Champion Eternal was the prophesied Deliverer who would balance the Scales of Justice and free Lord Azriel. Once this was accomplished by Connor, the Lord gave Connor a key to aid him in his journey and told the adventurer he would need all of the pieces of the Mask to save the world.
Lord Azriel is a character in King's Quest: Mask of Eternity who was inspired by Azrael, the Angel of Death, more specifically Azriel of Jewish tradition. There is no given reason why Lord Azriel is used as the lord of death and not his counterpart Samhain from the earlier King's Quest VI: Heir Today Gone Tomorrow, or the earlier Death; the grim reaper Father Death (Charon). It is possible the two realms of the dead (and others such as Hades) correspond to different geographic regions, or they may be some other explanation.