What's buggin me is that we're expected to accept that the world becomes a lovely place after 'Dr M/Vients mass murder. Come on. That's like an 'ooh, it was all just a dream' ending.
The point isn't that everything will be just swell from now on, that any kind of evil will be eradicated forever from the world, but that mankind won't threaten to nuke the shit out of each other anymore, for a while at least... Adrian is enough of a megalomaniac to actually think he can change human nature for good, when even the omnipotent Jon admits it's the only thing he can't do. Which brings us to the whole "nothing ever ends" thing. Will the peace last forever, ushering in an endless utopia? Most likely not, but as i said, Adrian thinks highly enough of himself to think he's the one able to bring this about and what could Daniel and Laurie do about it, rock the boat and render all those deaths futile? All they can do at that point is hope that the peace will last.
As for Rorschach and his death, there's more to it than what's on the surface. I think the real reason why he was so upset, the reason why he was was crying at the end, is that secretly he knew that Veidt was right in that they couldn't risk exposing him and thus risking even more people dying. However, unlike the others, he couldn't admit to it. After living most of his life without compromise (in his mind at least), knowing only right and wrong, black and white, this realization that there could also be shades of gray must have been a huge blow. As his world began to crumble, he stormed out, refusing to admit he was wrong. But deep inside, i think he realized Rorschach's sense of right and wrong was misplaced in this world.
Also, i think it was Alan Moore himself who said in an interview that Rorschach had a death wish at the end, which i think fits into my reading of his final scenes. After all, what could he really have done after storming out of Karnak, walk back to New York? I don't think he could fly the Owlship either, and even if he could, Dan locked the Owlship before they went to confront Adrian, which i always thought was curious. I think we can safely assume that Rorschach knew exactly that he wasn't going to get anywhere, but like a little kid, which in some ways he was, he stuck to his credo of "Never compromise", because the alternative would mean openly admitting everything he believed in was wrong. But he also couldn't go on living with this realization, so when Jon killed him it was more of an act of pity than protecting Veidt's new utopia.
Btw, in the comic when he went back to his apartment for his clothes before going to Karnak, the trenchcoat he got was the one he wore when he became Rorschach, which i always thought was interesting and is part of why i think he became Walter again at the end, along with the removal of the mask, somehow coming full circle.