Let me start by saying I was not among those disappointed last night.  That haunting image of Dale frozen on screen while the somber music plays and the final credits roll will, I think, be forever burned into my brain.  

Been a fun 25-year ride.  Heregoes what I think happened. 

Cooper, Diane, Gordon, etc. - they never really existed.  All of them existed within a dream of Laura's.  She (Laura) is the dreamer. Everything that was the "reality" we thought we knew in Twin Peaks was exactly what they had warned us since FWWM; it was a dream. They were living inside of a dream, and Laura was the dreamer. She dreamt up Dale. To the extent that he ever existed it was all inside of Laura's dream. That voice calling "Laura!" just before she screams and the lights go out in "her" house; that's her waking and the "reality" her and Coop were in with the Tremonts/Chalfonts owning the Palmer house was collapsing around it, with Dale frozen inside. Just like we saw the "reality" in the TP police station collapse (with Cooper frozen inside) after Bob was defeated.

It's possible that by defeating Bob they caused certain timelines to cross over or wipe out other timelines, but Cooper is no longer tethered to our reality. Remember the instructions for Jack Rabbit's Palace involved putting some dirt/Earth in your pocket, to sort of tie you to where you belong. The further Cooper went into her subconscious/dream states, the less tethered to reality he was until the point that he realized he didn't exist.

I still can't adequately explain though what happened with the whole Coop/Diane turning into Richard/Linda twist. I suspect Cooper and Diane may have been manifestations of Laura's psyche (as a pair of male/female arch-types) that were always tied together no matter how far apart they were torn. They lived out their own infinity of possibilities inside the fluttering electrical impulses of Laura's brain; but they were never more than a thought. 

I believe this is what Laura whispered to Dale in the lodge, and I believe it's what Dale has come to realize in front of what should be the Palmer house.