Mr. Voice or Morgo, telling the players that today was the day Misfortune will die is not wrong. She did die at the beginning of the game, but was likely sent back to before that accident happened.
Mr. Voice in his interactions with Misfortune comes off as an abuser. He constantly gaslights Misfortune, demands she only trust him and not Benjamin who has done nothing to harm her thus far, and only does as he says. Could he be a sort of personification of Misfortune's father who's strangely missing for the whole game? This idea is further supported by the dream sequence where Misfortune is sitting down to dinner, and a doll of straw and twigs (like the dolls Benjamin leaves around to warn Misfortune of Morgo) is sitting where her father would be.
Notice how none of the other characters really notice or interact with Misfortune? It's because she's dead. This would lead to Fridge Logic on the fact that her mother should have noticed Misfortune when she said she was going out to play, since Misfortune is shown to have died when she crossed the street, but given how Morgo is able to "reset" the game to the opening in the finale, it's possible Misfortune already died and had been brought back to the opening prior to the start of the game.
Misfortune seems to have Medium Awareness to a certain extent - she knows that "Mr. Voice" exists somewhere outside of her world, but knows nothing beyond that, and is not aware of the player's existence. Mr. Voice, by extension, IS aware of us, but clearly isn't omniscient - he doesn't know about the dolls Misfortune keeps finding, nor does he see or hear anything amiss in the climax at Benjamin's cabin. This is because Morgo himself seems to live in a reality that exists between Misfortune's realm and ours, which simultaneously allows him to act as both a bridge and a barrier between them! This explains why he can interact with both us and Misfortune, but only at limited times, and why Misfortune can't interact with the player at all and can only hear Mr. Voice when she's in the same space as him - if they're separated, they no longer exist in the same reality, and so their connection is severed.
The note from "Benjamin" stating that he stole the eternal happiness clearly isn't written by him, as it's written neatly with everything spelled correctly, while his warning posters scattered around town are a mess, full of egregious spelling errors. Even when his diary later on is shown to have much better writing, it still has some spelling and grammar mistakes.
Why does Misfortune throw things really hard at animals she likes and wants to make a good impression on? Her abusive father must have imprinted on her that violence is an extent of love.
When you go to George's house to tell him about the puppy, you can see a painting of him and his son. Sweet, right? Except that there is a crow painted off to one side near them - and dozens more flocking behind them. As you walk through the home, you can see another solo painting of a crow. It's implied that George's son was already playing Morgo's game when the portrait was painted - if it was painted before the son's death, then it probably means the son died very soon after.
Several of the places Mr. Voice leads Misfortune to are quite hazardous, with one of them - the entrance to the cave - outright having the chalk outline of a child in front of it, as well as police tape. Remember all the missing children? Is it possible we are indirectly being shown the ways many of them died?
At the beginning of the game, you see Mr. Hernandez's car parked in the yard with skid marks leading from the road. At the end of the game, we see that those skid marks are leading away from Misfortune's body.
Morgo being able to reset occurrences is very similar to reported ghosts "replaying" events in their life (such as a ghost replaying their death at a haunted site) or simply being unable to pass on, resulting in them going around and not heading to afterlife. Simply put, Misfortune being dead all along and playing Morgo's game by looping endlessly makes sense. She might just be seen as a ghost by some people.
After the day "resets" after what seems to be a 12 or so hour adventure in-universe, and Misfortune goes to Senersedee with Benjamin, she is reunited with the puppy she accidentally got killed near the beginning of the game - except the puppy can only be encountered after crossing the road, which Misfortune didn't get to do before her death, which means that the puppy died offscreen, possibly around the same time she did.
Why is Misfortune so determined (until she understands it's a lie) to get the Eternal Happiness, not for herself but to give to her Mommy? Given all we learn of her family life, it's likely her mother has told her outright, probably many times, that her daughter never brought her any happiness. Misfortune thinks this will finally make her mother love her.
