Interesting idea, though for myself, I'm of the "they live on seperate Earths" school of thought---unless the Simpsons statue crossed dimensional boundaries into Futurama's universe somehow...
My guesses as to how the show will probably end:
1. The whole town is blown up/ruined in some huge disaster.
2. The Simpsons (and possibly the rest of Springfield) are exiled from the U.S./sent to prison/some such fate, a la "Seinfeld"'s series finale.
3. The whole show is revealed to be a fantasy of Ralph Wiggum/Homer Simpson/Matt Groening/etc., who's shown to be treated for their stupidity/insanity/etc. in a mental hospital somewhere, with the doctors dismissing his fantasies of such a show as existing. Basically, the ending of "St. Elsewhere".
4. Homer is shown waking up in a cold sweat from having a bad "nightmare" about this "awful place where he's an incompetent nuclear safety technician, deals with a bad son", etc., and tells about it to the figure in bed next to him... Mr. Burns. Basically, the ending of "Newhart". (Substitute "Homer and Matt Groening", "Mr. Burns and Smithers", or some other "ha ha, it's funny because they're 'really' gay in the 'real world'" cliche pairing...)
5. One of the endings above, only for us to see the "real" Simpsons family at home (possibly aged in real time since 1990/looking like they did in teh first season/etc.) and/or the staff at Fox dismissing the whole idea of this show as "a dumb way to end a show" or (if the Fox idea is gone with) "a dumb way to end a series/dumb idea for a series"...
6. After a big adventure involving the whole series' cast of characters (maybe a two-part episode), we see the Simpsons family at home, relaxing, discussing the events that happened---which somehow reflect on their relations to each other as a family. They all reaffirm their connectedness with each other, and then sit down to a game of Scrabble---which soon ends with Homer strangling Bart for coming up with a tacky name referring to Homer. Marge, Lisa and Maggie at first start to roll their eyes, but they soon opt to smile slyly instead, contented in knowing that no matter what happens and despite their dysfunctionality, they'll always have/care about each other---even despite stuff like the Bart-strangling going on in front of them. Cue a pull out from the scene to the Simpsons house layout, the exterior of the Simpsons home, and Springfield as a whole... and fade to the end credits (with some softly-played instrumental variation on the Simpsons theme thrown in). Basically, a variation on the first regularly aired episode's (Bart the Genius) opening scenes... or even a reference to the closing scene of the last episode of "Star Trek: TNG".
While something like #6 would be amusing (depending on what the series-ending adventure the bulk of the episode would involve), I suspect/fear it'll just be one of the first five suggestions I listed---some lame references to other TV shows' series finales and a "look it's really a dream/delusion/etc. of Homer/Ralph/etc." ending... meh...
-B.
Figures for him, the show ended around 2000 anyway, so it doesn't matter if they go with the lame "gay" joke ending I listed above...