I'm partial to the theory that Dave acts as a sort of conduit for temporal storms and rifts. The name 'Thunder Warden' immediately makes me think of lightning rods, so maybe Dave is a sort of lightning rod for temporal instability. Assuming Dave is responsible for temporal instability, maybe very high rift activity is a consequence of Dave passing through in the rust world. As for his origins, I'm split. Given all the stuff Falx made in his time and all the folks who worked with him, a walking skyscraper doesn't seem that hard. But the rust world has a way of corrupting things, so maybe Dave's organic and just got twisted after spending who knows how long walking the rust world. Or maybe Dave was there before the rust itself. Tobias did say that Falx said the other world shone like jewels when he looked through the Lens, so the rust world wasn't always so rusty, the same could go for Dave.