I didn't really have a problem with "Into the Fire", though I would have liked a lot more 'big dumb action' thrown in the mix. I certainly would have liked to have seen more then 15 seconds of the First Ones intervening in the battle. But I understand why it went down that way.
One larger problem though, which was systemic of the entire series, was how the villains failed to be characterized as individuals and rather as vague ideological forces. We never had a Shadow as a character, for example, just Morden. We never really saw Clark, just a couple stooges. We never met any of the Vorlon leadership, just the very atypical Kosh and then Ulkesh, who while symbolic of the Vorlon mindset, certainly wasn't the one in charge. Cartagia was really the only leader-villain we ever met and interacted with in the end, isn't he? And Bester, though like Ulkesh, he wasn't the man in charge.
Their departure makes sense within the story, though. Lorien was God to the Shadows and Vorlons. He had forsaken them for millennia, but now he finally came back and said come away with me. Of course they'll agree.