I just beat all of the storymodes on X2 #R and I came to a few conclusions.

"That Man" is probably a former memeber of the United Nations
"That Man" and the Postwar Administration Burau might be working together
"That Man" might actually be thinking he's doing good to the world and he might not even be human anymore (or ever)
Slayer is probably connected with That Man sence he sort of acts as if he can predict the future on events in the world.