Yeah, it's a tricky needle to thread, to be honest. One of the problems of visual media in general is the audience tends to sympathize with characters who are the focus of attention: Vic Mackey, Walter White, etc. You have to really sell the ending and it's going to end up disappointing some part of the fanbase/audience. Hell, look at how mad people still are about the Seinfeld finale.
Breaking Bad did it probably as well as I could have reasonably expected a big name prestige drama to do it, but nobody's done it perfectly, IMO.