Well, then that leaves us with Darth Vader coming back from the dead.And for me that leaves open the possibility Yoda didn't die either. Perhaps Ben and Yoda had things to take care of elsewhere together.
My take on Luke not being as confused about it is simply the direction given to the actor -- maybe he didn't know the Yoda puppet was going to vanish like that.
Or our protagonist just hears and sees things. That's a possibility as well. Nobody ELSE hears these voices.
It's all a lot of simple tricks and nonsense.