I am sorry you had such a loss and I know it must have been so difficult, I cannot even imagine my life without Titan, but I imagine I will be making a similar post when the time comes.
I haven't lost a dog yet.. not at least to that extent. I lost a puppy once and she hasn't been replaced yet.. but she wasn't yet woven into my daily life at the time.. we were still bonding.
I will comment on my beliefs though.. I do believe in an afterlife of sorts. I am a Christian and fully believe that God sends down spirits (or whatever) to look after us/comfort us/ etc. I fully believe this to be true even when it comes to a loss of an animal and don't think you're crazy. To me, and my beliefs, it says that God has sent Rocky to be a guardian of sorts and he makes himself aware at some points, jsut to let you know he's still around... now you can call me a kook
but your story sounds nomal to me in that sense.