There weren't many other directions this could go. If the series had become very popular, then I suppose they could keep the story going by moving onto Lennon and Lico's successors and detailing more of the Legion war, maybe even show harvesting a core and converting it for Mercy creation. On the other hand, the series came out swinging with its mood of tragedy, helplessness, and being too small to change anything even if you were augmented with alien biotech. In this way, this ending is perfectly on point: the story of two weapons and their support staff thrown into a numbers war and being ground to dust from it.