The Return of Sir Richard Grenville
The Sir Richard Grenville mentioned in the poem is probably this one who died fighting against the Spanish. This poem is swift and eerie -the sort of thing that wouldn't stand by itself but helps add color to an already established world. This sort of multi-genre world-building is reminiscent of what Tolkien was attempting at the same time period in his unpublished Silmarillion.
Wings in the Night
As predicted, Howard uses the wilderness of Africa to test the faith of Solomon Kane and in the face of overwhelming suffering it for a moment breaks. There are some key points to notice here:
The first is that the interruption of Kane's faith allows Howard's real beliefs to come through: the triumph of Aryan man through a violent process of natural selection (Blech!). There's one horrid little paragraph here that reads like something straight out of Hitler's Reich. The sad thing is that these views were considered respectable and scientific in the 1920s and that Howard was only spewing what so many people of his era held for fact.
Second, Howard keeps returning to Kane's kindness. It is precisely Kane's kindness that drives him insane at the sight of intense suffering and motivates his rage against a cruel and wicked world. His momentary collapse of faith is not a refusal to believe in the existence of God but a questioning of his goodness in light of human suffering. In the end, it seems as if Kane interprets his continuing success in fighting injustice as proof of God's care for the world as He empowers His agents to fight evil; a very Puritan notion.
Third, we should have anticipated Kane's trial in the wilderness from the beginning. The Christological parallels are too good to pass up, but Kane also has a fascination with the occult and adventure for adventure's sake that has to be chastened. He confesses as much to N'Longa in The Hills of the Dead.
So there you have it: the penultimate complete story of the saga of Solomon Kane. Here, perhaps, lies a critical insight into Howard's abandonment of the character: to make Kane into a character that Howard could continue to believably write, Howard would have to break him to pieces and transform him into something completely different. I don't know why Howard didn't simply do this (it was his character after all and he could do as he liked), but I'd like to think his refusal stemmed from artistic integrity: to let his creation be what it was, to obey the rules of his own game. If so, then he let Solomon Kane stand as he was, devote to the core, and moved on to create a hero more after his own heart: Conan the Barbarian.