Gene Wolfe is playing with some classic fairy-myth tropes in this story, mixing the traditions of fairy-folk from a range of cultures with the more modern idea of alien visitors. What results is a sort of gestalt. A distant, utterly alien, and totally aloof force that takes the forms of human myths as it sees fit. This is an interesting idea, of course, but the story the surrounds the idea seems a little done to me. Because he's telling a fairy-story, we're given all the requisite earmarks: a supernatural kidnapping, a deal, and a sacrifice. Even, somewhat expectedly, a twist on wording of the deal that leads to a "surprise" ending. These are all very necessary if you're going to play off of fairy-tales and myths in the first place. But it just ends up feeling like I've read this story before, written by other authors, and with more interesting varients. Also, while the twist is a clever one, it's not entirely unexpected. In the end, I'm a little ambivalent about the story. It's good enough to be fairly enjoyable, but not great.
I should say that the above is, of course, just my opinion, and it is clear that others don't share this opinion, as this story was nominated for both a Nebula and an Locus award in 1985.