I think it is important to note that Hart is the one who said, "we can't get 'em all"... And that was sort of always Hart's attitude about the whole thing. I would presume that Rust's fleeing of the hospital meant that he is probably jumping right back into the case and trying to track down the other people involved.
I don't think that part of the story was contrary to what we had grown to expect.
There's no doubt Pizzolatto was working with some really deep themes that delved into the annals of strange fiction dating all the way back to the 1800s. Even in the show's final showdown between Rust and Errol, Errol said, "Take off your mask," which is a clear reference to all of the other weird Robert Chambers stuff he used over the course of the show.
The depth was there... where people ended up being wrong was that the supernatural stuff didn't interfere with the actual narrative of these two guys searching for a killer(s). And, I was actually glad about that. I think keeping all of that stuff in the background as a dual narrative was the right approach.
And, listen... we can all sit here and b!tch and moan, but I thought it was a pretty great achievement for 10 episode season. No, the ending didn't quite live up to the first five episodes, but hey... that was a pretty high standard with the greatness of the show's start. And, trying to tie things up in so few episodes was always going to be difficult.
That's why I thought the easiest way out was just to kill Rust and Marty. Things seemed set up for that to happen... Pizzolatto decided to go in a different direction and I don't really have any complaints. It was an incredibly entertaining season and it had such a passionate following, an obscure book of short stories from the 1800s made it onto the freaking Top 10 Best Sellers list.