Sounds like a nice experience, him appearing to you
The same thing happened to be many times when I was upset after my cat died, but with Mars. He'd meet me in a spring field looking like a Roman solider and sometimes he would talk to me, other times I'd just stand near him and others I would touch him, looking for comfort. He always left me feeling better and less stress/sad.
So I can understand how you felt after your Baldr experience!