After playing out the anime most of the way through to the Ein ending of the game (minus one or two important and not quite so important details), BEETRAIN decided to throw this little development in.
I have no problems with Reiji dying, to be honest - having killed so many, including innocents, over the few years in which he was Phantom, his past was bound to catch up with him, especially since Inferno and Shiga were still operational. And based on his reaction, I have no doubt the assassin hit his heart - hard to miss really, a still target at that distance.
What bites is the execution, which makes a complete mess of the feelings that Reiji and Ellen have about each other. Reji's final words were that he would definitely fulfil his promise of finding Ellen's true smile. But for him not to see it? And mere hours after they decide they've found Ellen's homeland? That's just needlessly cruel, seeing as they'd been drawn into the mafia against their wills.
One of the theories floating around is that Ellen had him killed, and then killed herself by consuming the flowers in the background (the speculation is that they're poisonous). The problem with this theory is that the final words we hear from her are "Just those two things (the name you gave me, and the memories I have with you), they alone are enough for me to keep on living."「それだけで、それだけで十分に私は生きて行ける。ただそれだけで。
Hence, I believe that her smile was because she thought that Reiji had just thrown himself down onto the grass.
Finally, within fiction, there's always the issue of meaning. Was it actually necessary to kill Reiji? Did his death contain any message for the audience to consider? Some people argue that it showed that they would never escape the mafia, except through death. However, they could have indicated this simply by depicting McGuire or Shiga moving to have them taken out, without depriving Reiji of the experience of actually fulfilling a promise. It seems that the creators did this to create an ending with impact...but the main thing that strikes me is just how forced it seems. Real life is one thing, but you normally wouldn't show a character dying on screen unless it is consistent (and even necessary) to convey a message to the audience. Reiji's death was a kick in the gut after the thread of bittersweet redemption that defined him after he met Cal - his experiences had made him appreciate life, and he wished to help Ellen realise it too. Unless what they really wanted to say is: "Once you've fallen, you'll never escape no matter what you do or how you think, so you might as well stay there."
In short, I really would have prefered an open ending, where we won't know what happened to them, but can assume they find a small measure of peace again. at least for a short time. The game's Cerulean Sky Ending, that is. Second best would have been both Reiji and Ellen dying, but not in such a melodramatic manner!