The Lannister twins being crushed by the collapsing Red Keep seems like a letdown at first. We all wanted someone to stab them. But the whole show has been building the idea that the Lannister family is the embodiment of the broken power system that has held Westeros for many years. They are self-serving, uncaring, and manipulative, and they are supposed to be the best of the ruling class. They are the strongest house. The best this power system can produce is a set of universally hated backstabbers who care more about power than existential threats to the realm like the NK or the wellbeing of the people. They destroyed the social fabric of Westeros (Sept destruction, open incest) for the sake of themselves. Take note of how many great houses or traditional power centers or ancient kingdoms or legendary inheritances have been destroyed since the death of Ned Stark. It's all because the power structure of Westeros is self-destructive and tyrannical. Eventually the twins die in the ruins of the system that made them, a system that has to burn before any real change can come to Westeros.