Aside from the fact you don’t see (or hear) him get killed? It’s more meta.
Series finales are difficult to execute (no pun intended) successfully. I don’t remember all of the dialogue, but there’s an exchange between Tony and AJ that essentially translates to, “This show isn’t about the ending. Just remember the good times.” You know, what made the series great.
Then there’s the choice of song. Look at the lyrics. “Oh, the movie never ends. It goes on and on, and on, and on.” And what do you hear right before the cut to black? “Don’t stop.” Don’t end the show (but they had to).
To take it a step further, everything Bobby and the other characters said about dying can still work within the context of the finale... only we’re the ones getting whacked.