I thought it was brilliant that they killed off Lee.
He had always protected Clementine and at the end of it, was practically given a death sentence and forced to let her go. When Lee got bitten, I felt his anguish. Part of it was because he was going to die, but the biggest reason was because he could no longer protect Clementine to personally ensure her safety and survival.
Everything he did was for her. When she cried for him to get up when he clearly couldn't, he did it - all for her. His anxiety and concern of Clementine's well-being over his was made even clearer when Clementine was attacked by the security guard Walker and he was helpless to go to her aid.
Yet as the game comes to a close, Lee did all he could to make sure he taught Clementine whatever he could from their dire situation... he was her protector right up to the end, and successfully moulded her into a survivor who will not be helpless in face of danger.
But I think the lesson is also that nothing is for permanent, especially in a zombie apocalypse world. It was also about the maturing of Clementine from one who is protected to one who can protect herself (the scene of her killing the Walker and arming herself) without Lee. Seeing that, Lee can go in peace.
Because of this very strong connection and relationship between Lee and Clementine, which clearly affected the players as well, his death made the ending shine.
Players always feel the sense of accomplishment when they complete a game, but won't necessarily be too emotionally involved. This was an ending that achieved both. What more can you ask for?