Having read the Hellboy Companion, I do think it's safe to say that Mignola has had the game-plan for Hellboy himself in place the entire time. I think he wanted to go from the idea of old Nazi threats to the more mystical, ancient side of magic and the like. And it's amazing. I don't think that many books I can name outside of a limited series have that sort of idea of where they want to take the character and have the resolve to really see it through. That's the reason there's been no retcons whatsoever.
The only reason we've had books like BPRD and the like pop up is because they've proven popular in the main series, but they too contribute to the stories and backstory behind everything that's going on. BPRD in particular hints that the world is heading for a really, really dark place with the continued plague of frog-men, whilst Hellboy as a continued set of miniseries seems to be heading down the line that he will assume his role as a destroyer of worlds.
So yeah, this line of books has always been really, really strong, but I think it's hit a high-note since Mignola dropped the Nazis and started having fun with the writing. That he's stopped doing art, by and large, seems to be for the better, given Fegredo is that good.