This was true from the beginning, when Lynch & Frost had intended Laura's murder to forever remain unsolved, and it remains true to the end of The Return.
When I was watching the post-Lynch & Frost episodes of season two, the question I kept coming back to was "What is Twin Peaks without Laura Palmer connecting everyone?" It was something I kept wondering in season three, too, and worried those brief appearances we saw of her in the beginning of Part 1 and Part 8 would be the last.
The Return's finale laid those concerns to rest--at a cost, but one that brings emotional catharsis and ties everything together in a satisfying, if unsettling, way.
Cooper comes back, BOB is defeated, the gang's been re-united, all seems well. And then Cooper decides to return to Laura.
There's no point to it--Cooper's finally home, after all. Laura's murder has been solved. Fire Walk With Me even indicated her soul might be at peace.
But it wasn't the mystery that drew Cooper into Laura's case, either.
Compassion and empathy are the DNA of Lynch's works, and Cooper epitomizes those values. He saw the tragedy of Laura, reflected in her parents, reflected in her friends, reflected in the people of the town, and, most of all, reflected in her. His initial final scene on the Laura Palmer case in season two is cradling Laura's father in his arms. He's defined by his need to better people and their lives.
Of course he can't move on. Of course he has to go back to Laura. Of course, when it all comes down to it, he wants to undo her tragedy. He was given luck that could help mend together a broken family, and he thought he had more of that luck.
The moment he takes Laura's hand, he brings a new tragedy upon them. It's too late. You can't undo a tragedy.
It's a great ending.