I've always thought that Big Bad was some kind of schizophrenia that Red was experiencing, at least in Ever After. In Sugar Bits, Brave can see him too, so Big Bad is not entirely locked up in Red's head. Granted, Bleed took some liberties to include them both in the comic, but I guess it's possible that both of them share more than we think.
Roads? Where we're going, we don't need roads.