Whatever the phoenix, Apocalypse, Thor and the rest really are, writers have to be careful,or they'll ruin the Ultimate Universe. That phoenix legend from date nite is kinda far fetched. I hope that what the phoenix really is is a more down to earth answer.
millar handled this the best way. that being he never explicitly said what's going on, simply implied it. we're still not sure what Thor is in the Ultimates, and he didn't give us all too much insight into the Phoenix either. The ambiguity keeps the Ultimate Universe interesting. Taking away the veil makes it lame.
The Ultimate Universe was supposed to be more grounded than the 616 universe... The fact that they're pulling in loads of aliens (Ultimates, vol. 1) and Galactus is sickening to me because the galactic stuff is what I hate most about the core Marvel U. Now, instead of "grounded," we get "cosmic" or "magic" things happening and it's crap.