I loved the way they did it. On reflection, I think a big bombastic death scene would have completely spoiled it. I agree with FintyTin - I think a lot of people are only seeing SG as about being funny (which it is - very, very much so); but it's not a stand-up or sketch show - it's about the characters and their lives and relationships. Sometimes, the focus will be on comedy, sometimes on pathos and, very often, a fabulous blend of both.
I think that if they had ended it with big dramatic deaths, it would have put too much focus on us as viewers and made it about their lives only being for our entertainment.
Of course, they were - that was the whole point - but great drama is also about suspending disbelief and imagining the characters as real, believable people; and by having all the main characters (except for Boabby, who ended it all so simply, poignantly and perfectly) fade out firmly put the emphasis back on the characters rather than the viewers.
Instead of them being performing monkeys, who we enjoyed until they were all used up and then abandoned, we were left feeling that we'd had the privilege of being weclomed 
to share in an extended snapshot of their lives, but now they'd politely shut up shop (and not just Navid and the gladly now-identified Meena), taken their leave - great tales now all told - and we'd parted company before they quietly saw out their final years in privacy and dignity.
Actually, on balance, that was quite a rambling, philospohical, Navid-esque summing up of it all....