Have you only finished the original six episodes or also the two special episodes? I am just asking because it is easy to miss those. After you finish the original episodes, the game seems to end and you have to start special episode 1 manually from the respective menu. Mild spoiler below:
Note, that due to the nature of the game, there is no "they lived happily ever after" ending. Not sure if you expected anything like that. Not everything is explained in the end. and you basically have to imagine yourself what would happen afterwards. In a way you invent your own ending of the story, based on the ending presented in the game.
No dont know what the respective menu is. Will look into it. Just played American Nightmare and though the ending was better that game play was worse. Too easy (usually play all game in normal mode). Only died maybe 8 times and only 2 of those were from enemies. Don't know if 2 special episodes were American Nightmare. And to answer your 2nd question no I didn't expect a fairy tail ending. But I expected some kind of ending. Good game with a bad ending....not the first time for that though.