I've just seen the episode, and I think it's awesome!!!

C'mon guys! Everything is OK. Finnaly, RJ is just a man of flesh and bones not a superman as he thought himself.
Yes, he is powerful, because of his sheriff statut, his gun, and also because he has very strong mentalist skills, but he can be killed and I think he did realized it until PJ put a bullet in his freaky stomach.
OK the pigeon trick is a bit stupid but don't forget the show is also about magic tricks, and doing this Heller wanted to remind us this side of the story. When I saw that, it remind me a scene from "The 5th Element" when Gary Oldman smother himself with a cherry kernel, and the priest told him something like "look at you, you think you are powerful because you rule the world with all your money and your technology, but you're going to be killed just by a small cherry kernel". And it's all about that! When Patrick throw the pigeon, RJ reacts like a small girl and lose all his power. When he asks for pity in the church it's just a trick to call his minion (the wife with knife), but when he asks again in the park, he is serious, he don't want to die. he thinks he is too strong and important to be killed like an animal in a park. The guy is completely crazy, until the last moment he wants to trust that he is magic "I'm a true psychic". And Jane's provocation "I'm a bit disappointed" (meaning: Look at you little piece of shit, you think you're invincible, and I kick your ass with a pigeon!), he knew exactly that using this kind of sentence, Rj would lose his self control.

The last scene is great, PJ is running for many reasons:
- to runaway from FBI, coz now he will be like Micheal Scofield in prison break,
- to evacuate the adrenaline,

And look at the background, there are:
a walking mother with her daughter,
an old couple
a father playing with his daughter.
Three things PJ could never do because of RJ.

This is my interpretation, I loved this finish. now I hope many questions will find answers later (we have this season + another one before the end of the show).

PS: stop investigate by watching all the McAllister episods, because until end of season 5, no one was supposed to be RJ, so no clues to find.