Dustin Rhodes burns his Goldust outfit because he’s sick of being Goldust (or “The Artist Formerly Known As Goldust”, or whatever).
So, he starts to talk like a preacher- rambling on and on about how “he” is coming back soon.
Who is “he”?
Well, it turned out “he” was Goldust when Dustin became Goldust again a few weeks later because nobody particularly cared about Dustin Rhodes being himself.
Which meant that this entire segment was a completely pointless and stupid swerve.