I actually quite like the ending, if I had have read about it before playing it I would probably have said it sounds lame. I take it you mean the playing as Kelso? Or did you mean Phelps dying? I guess after Red Dead Redemption I was kind of expecting that myself. I think the Elsa angle was more about how Phelps was struggling with "his demons" from the war and couldn't talk about it with his wife.
For me, one thing that I didn't like was how many people you end up killing, it was supposed to be a more realistic game, but you still end up killing about a hundred people, and that's without doing the street missions. My biggest gripe was the homicide desk, I worked out the killer in the second or third case. It mentioned agency bartender, there had been one of those in the first case. And as the cases went on every one involved a bar. That seemed like very weak writing to me, there was no option to ask about it and as the desk went on I enjoyed it less and less as it became clear that it was going to be the bar tender.