The clever chaps at ResidualVM (the 3D sister to ScummVM) have finally discovered the reason for the missing dialogue at the end of Grim Fandango. As it turns out it wasn't a design choice, it was a simple bug...
A bug so buried that apparently not even Tim Schafer was aware of its existence:
The bug is now fixed for players using the latest version of ResidualVM to play Grim Fandango.
"I had no idea that there was a bug in Grim that caused a critical dialog not to play! :O! But these guys fixed it."
You can get ResidualVM for free here: http://www.residualvm.org