Agreed. I don't see how trying to close things off in six episodes could possibly be worse than just leaving it hanging after S3. I'd bet most creators of shows cancelled so abruptly would give their right leg for such an opportunity.
I think one of the issues here is that Deadwood was promised a fourth season and presumably story decisions were made assuming that. Had Milch known the third season was the last (or had some idea that it was possible) then he might have made an effort to wrap things up a bit. Speaking for...