And on that score the movie may be too simplistic. It says you have to choose one or the other. For some Sufi thinkers, however, there is no dichotomy in divine love. Unconditional love of God doesn't exclude love of paradise. Rather, love of paradise plays a role in the movement to the unconditional love of God.

Sufism, like most mystical traditions, looks at the reality behind nature. It struck me that the Moulin Rouge itself is a place of fantasy, of false reality. Even the show the players are putting on parallels the story we're watching on another plane.
You could look at the Moulin Rouge as a microcosm of reality as a whole. People aren't conscious that life is like a theater. I saw the Moulin Rouge as a more extreme version of what we call reality. Sufism says the pervading reality is a sea of oneness, one of the qualities of which is love.

The master of ceremonies struck me as a kind of a transcendent character.
He was a kind of magus. But I'm not sure he really makes it as a transcendent figure, because he seems too invested in the Duke's offer. If he were truly transcendent, he wouldn't have been so attached.

You said earlier there's a postmodern, mocking note in the film. That seemed most apparent in the artists who befriend the writer. They're a sort of Greek chorus chanting truth, beauty, freedom, and love. But the film treats them as clowns, and their ideals as just catch phrases.
It appears that our hero, the writer, isn't facing just one antagonist in the Duke; he's also facing the postmodern antagonist that tries to make light of the whole thing. At the end, too, the director chose to pull away and show the city from above, as if to remind us that this is a tiny story, really.In a way the movie offers us love and then takes it away over and over again, almost as if, from a perspective of faith, love is just a means God is using to draw people even beyond love. From that perspective, God is drawing the lovers of God to himself--God uses love--but in the end, in order to reach absolute truth, even love is no more.