I think the answer lies in the moment she is introduced into the movies. She states that "We were disorganized." She is not thinking as an individual, but as part of a collective.
Then, she goes on to describe how she inflicts pain, and states that she serves it "coldly". Again, she goes onto state that "we even tried it on children." Therefore, it is fair to assume that absolutely everything she does influence by what she feels is her part in the collective. So then, it is fair to say that she has no will of her own.
So then, the viewer is led to belief that they are looking for "proof" of heaven, but it is highly unlikely, near impossible that they are. They obviously are aware of the pain that they caused, and given her statement of how they "even" tried it on children, they are aware that they have gone beyond what the world considers to be "bad". However, it is also very unlikely that they were what we may term to be "atheist", they started their experiments with a belief that there was something beyond to be discovered.
This means 2 things: There did not see themselves as "good" by any means, and were not attempting to advance science for the good of humanity by any means either. Secondly, they belief in AT LEAST one parallel universe of some kind. Now, most people who watched the movie ASSUME that they were searching for "heaven" because they used catholic terminology (martyrs), but actually the are extremely scientific individuals,with some historic knowledge, along with a complete lack of care for anyone outside of their organization (possibly not even for themselves).
Also, Madam is almost certainly not the leader of the organization, but is instead just likely to be the leader of that particular region, cell, or area of research. Then, at her limited position of knowledge, since she is likely under someone elses orders, she gives Anna a quick briefing of some of the methods which they have employed on some of the people, and claims to be looking for "martyrs". However, they may not be looking for heaven, but may instead be looking for a way to LOOK into a world which they already know exists.
Now, this is by far the most likely scenario, because she explicitly mention that the "martyr-type" people are looking up at something something which others cannot see. The "up" may lead the viewer to belief that it is heaven that they are talking about, but it may just be a way to throw people of the real trail. Obviously, the people killed were not all looking in the same direction since the Earth is round, and they were not all looking up at the sky, but instead their eyes were looking up relative to the face. So then, the "up" only comes from the position of their eyes, but they were all looking TO something, this much we can reasonably deduct from Madam's monologue.
However, given the severity of their actions, it is highly unlikely that they are attempting to find a way to see a parallel universe with a peaceful intent. So this leaves only one option, they want to somehow conquer the parallel world.
At no point in the movie is it ever said that they have stated the entirety of their plan, or even stated a true intent; Madam only shares an aspect of the organization collective objective, to find a special type of human. Give the full-scale effort made, there are follow up objectives.
So then, the viewer must assume one of two things: Either they are a legitimately insane group who has become delusional and tortured a girl into madness. However, that is unlikely given the high level of organization and obviously extravagant funding by some means or by someone. Or two, they were actually correct and there is a parallel universe of some kind.
The first option would mean only one thing, that Anna either stated some mad delusion which Madame not only believed, but took to heart so much that she killed herself. The odds that Anna could make a delusional statement that was somehow interpreted as true by Madame are astronomical since Anna knows very little about anything what is going on. Then for such a delusion to have a profound effect on Madame is near impossible.
So the safer bet is to assume that Anna is not delusional, and that the organization was right and that there is a parallel universe.
So, assuming there is a parallel universe, and that the organization was planning on conquering that universe (which is by far the most likely and reasonable explanation available), then it is highly likely that the character that we know as "Anna" was not speaking, but that instead it was "something" else.
So then, if "something" else spoke through Anna, it is possible that it was able to sense the intentions of the group, and may have said something to stop them from continuing their "research" (plan). However, since Madame said "keep doubting" we must assume that the organization was doubting something. However, it they may not be doubting the "existence" of a parallel universe, but their ability to conquer it. Since Madame made contact with something else (this much is evident since it would be unreasonable to assume that Anna was delusional), yet she killed herself, the question is whether she was encouraging her organization to continue with its goal, or whether she was trying to hinder their confidence upon realizing that they were right about something, but did not want them to achieve it.
Since she committed suicide and therefore left her organization, it is unlikely that she was being supportive and hoping to encourage those that she was leaving behind.
So then, it is likely that she learned that the organization was correct about something, but received some information that made her dissent and attempt to hinder organization. So then, while we cannot state for sure what was said; we can safely assume that the most probable explanation was that it was an otherworldly being of some kind which somehow induced Madame to turn on her colleagues to discourage them from proceeding.
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