I agree with many of the reviews/comments on this episode and the series in general. Thinking about to 2003, I have almost no memory of this show being on or advertised... Maybe I was in a weird TV market at the time, or, more likely, they failed to truly "get the word out."
I also realize why the show failed. Doe himself is a pretty bad actor, overplaying almost every scene. Killing off Karen was also a mistake; she seemed to bring more humanity to Doe. While I realize she wanted to leave the show for other work, they could have pulled a Monk and replaced her with a new assistant... Maybe Karen got some major painting thing or whatever. I also realize that they did that to make Phoenix more menacing, but one could have achieved the same goal through semi "random" murders each week that left their mark on the victims... That way we got to see that "they mean business" but we don't lose major cast members in an abrupt and anticlimactic way.
Overall, the pace was relatively slow throughout much of the show as well... and this is from someone who watched the episodes back to back for a few days. I imagine people's interest would have waned over the course of a year.
Beyond these relatively minor points (I watched the whole season afterall, it was pretty good) this is one of many shows the general public just doesn't "get". Remember Dead Like Me? Really most of the Showtime and HBO stable over the years... For a show to stay on it has to hit home with a *lot* of people. And I understand that a *lot* of people wouldn't get the whole concept of the show OR where they were planning on going with it. I personally think it was have been a great tack to go with, the whole death/messiah/oracle bit.
I guess the biggest shame of the show ending so abruptly is that we didn't get to see where it would go. Shows like Lost et al tend to reinvent themselves and develop over the seasons... It's likely that the writers plotted course would have changed and evolved as well.
And, in closing I also have those nerd rage moments of "WTF a show like this gets cancelled and we get *years* of the illegitimate step-child Kyle XY?" I say that not because this was such an incredible show, but merely because it had the potential to be amazing as time went on... A lot of truly bad TV gets left on the air for 9+ seasons... Frustrating when pretty good TV gets the axe after one.