Some serieses or serieses' finales try to come up with some shocking scene just to create some excitement or ratings and get audience to talk about it. Here killing Jimmy was something of that sort. It wasn't needed, not just because Jimmy is a key character and part of the whole thing, but also because its not Nucky's character or way. Nucky is man who makes people around him happy, more like a business man, he hits when he needs to. So killing Jimmy was more like an act of revenge which is more like Italian Mafia style and not the Nicky's. Probably its Scorsese's and Van Patten's area of play, where we can see their style all over the show, mixing old Italian movies/serieses with Boardwalk Empire. Its cool, but don't overdo it.