I actually think this may be the main point of killing Tony in this way. You are right that we are left with no understanding of a monumental event in the life of this family. We don't know if Carmela and AJ live. We don't know what happens when the killer meets Meadow at the door. We don't even know for sure that Tony is dead as opposed to being in a coma. In short, we are in exactly the same position as Tony. Same as JFK, Lincoln, Archduke Ferdinand... And here is the kicker, same as many of us will be in the future. Sure you may die a slow death of cancer and then you may know more. But for many of us, the data will just stop rolling in. So he's actually said something profound about death itself.

Keep you affairs in order. That's the best you can do.