What lesson is Doctor Faustus supposed to learn from Mephistophilis about the nature of heaven and hell?

Mephistophilis informs Doctor Faustus that hell is less a physical location than a state of being. As Milton's Satan would discover in Paradise Lost, hell or heaven is within the individual and not necessarily a destination they are sent to after death. No matter where he goes, he takes hell with him in his soul.
Mephistophilis says this of hell and heaven when Faustus asks him why he isn't in hell physically if he is supposedly damned there:

Why, this is hell, nor am I out of it:
Think'st thou that I, who saw the face of God,
And tasted the eternal joys of heaven,
Am not tormented with ten thousand hells,
In being depriv'd of everlasting bliss?
O, Faustus, leave these frivolous demands,
Which strike a terror to my fainting soul!

It is interesting that a devil like Mephistophilis should complain so bitterly. One might think he would be one to scorn at God and heaven, but he seems to regret his damnation and even seems to warn Faustus against making any kind of bargain with him.
Doctor Faustus only scoffs at Mephistophilis instead of learning anything from him. He basically tells him to be a man and stop complaining about not being in heaven. It is not until the very end of the play that Faustus comes to Mephistophilis's understanding of just what he has done to his own soul.

You could argue that Faustus should have learned from Mephistophilis the lesson that hell is a state of mind rather than a location. You might cite the conversation where Mephistophilis tells Faustus that he (Mephistophilis) is in hell even as he is talking to Faustus on earth. Mephistophilis says that he has "seen the face of God/And tasted the eternal joys of heaven." By contrast to those joys, being anywhere and being unable to return to heaven is torture. Faustus hears Mephistophilis say this, so you could claim that he should have learned from Mephistophilis that even before going to hell, he could still experience hell's torments because he has separated himself forever from heavenly joys by selling his soul. Good luck!