Paul/WMG

Paul is from Roger's species.
They both learned to speak English fairly well, they can both transfer all of a being's knowledge via skin contact (though in slightly different ways, it's possible that Paul is better or Roger was lying about the exact method being necessary), their species are each entirely bisexual and they both have neck orifices full of goop. It's possible that Paul was one of the technicians who worked on/tested Roger's craft, and the thing that went wrong with his ship was a cause or result of Roger's ship crashing. Any physiological differences (including Paul's nostrils and invisibility) can be explained by Roger being or having forgotten he could do that/never having noticed in the first place.

Paul's species is practically immune to battering damage and g-force shock, but not against fire.
When the agent's car goes into the canyon, Paul seems either sincere or sociopathically uncaring when he says the guy will be fine. Based on the way his expression changed when he saw the fireball, it seems like Paul was being sincere. Perhaps Paul just never had the chance to find out that humans can be easily squished, and assumed they had similar resistances to those universal amongst his own species. Remember, Paul was introduced when he crashed a stolen truck, and even then kept asking to be allowed to drive despite the fact that even by the climax of the movie, he could only "almost" drive automatic cars.

Paul's species are hermaphrodites.
When he said that all of his people are bi, he meant bisexual as opposed to unisexual, not bisexual as opposed to monosexual. Either way, homosexuality isn't something that matters to his species from a sociological standpoint, because it's either Blue And Orange Sexuality to them or is simply not being attracted to people of a particular group.
 * Two possible refutations of this: a) Given that no one says "Hey, wait, you're a hermaphrodite!" when they see Paul nude, we can assume that he has male genitalia; and b) The other alien of Paul's species at the end who admires the drawing with three breasts, implying that females of Paul's species have breasts.

Paul was sent to prepare the Earth for colonization by The Greys.
Being held captive by the Men in Black for 60 years? Suuure. More likely working with them to help prepare the human race for servitude by The Greys. Why else help create The X Files and Close Encounters of the Third Kind? Especially the former with its Government Conspiracy about getting the human race ready for colonization? Heck, he even says he created Agent Mulder!

And as for the latter - it's own WMG page says that the aliens have brain-washed the people obsessed with following "the lights in the sky".

And it won't be the "good" kind of encounter, either. Sorry folks; but we're in for a full-on, "To Serve Man"situation. Oh, Paul's never eaten anything bigger than a bird? Suuure. Keep right on believing the Amusing Alien.

But why did Paul help Agent Zoil meet his wife, you ask? Two words -- breeding stock. Sweet dreams.