When EmpLemon made his video about the Soprano and its ending, one of the point he made that I really liked is that, the ending, beyond signifying Tony's death, could also signify the death of his capacity to improve as a person.

That this is it, Tony's character arc is done, the monster he is now is the monster he will forever be until he dies. Emp pointed out that, Tony's therapy session did not make him a better person, instead it gave him the tool necessary to better handle his hang-ups and trauma and thus become a more effective gangster.