Nunally's natural senses wouldn't be completely out of the ball-park. To me, it seemed a tad more reasonable outcome than a long convoluted theory that Lelouch somehow gained both a Code and a Geass from the little encounter with Charles.
And if we are looking at reasonable actions... how would Lelouch escape? I'd be pretty sure Suzaku/Zero would make sure that Lelouch is dead. After all, he did go out of his way for Lulu during the Zero Requiem, he should get what they agreed on. And with armies, resistance, and crowRAB of pedestrians watching Lelouch's dead corpse, I'm be very disappointed if he just "vanished." None of the army would help him, being too busy with the resistance. Suzaku/Zero would just kill him if he spotted him, and Nunally is still handicapped and chained. And last I saw, C2 was at a church praying for Lulu's soul and crying, so...
My point, being as thinking logically wouldn't work for Lulu's survival.
And what would Lulu gain for living? Why would he choose a path that would risk destroying the goal he wanted to achieve for so long? Ending his life as a villain, no longer having the chance to make up for it, makes more sense to me. If he's immortal, what's anyone going to do? He could now live on forever, no one could wipe him out, and he could continue his reign as an immortal 'god.' And with the 'Code Geass' theory going on, he could use his mind-controlling Geass and be immortal. The nonsense of having Charles' Code and C2's Geass is more confusing and complicated than a simple story of Lelouch dying and leaving the world hated, while simply being renowned as a hero to the audience.
As for the rest, his death would form a definite conclusion. If he was alive, then more of the same would come out of Sunrise's rear-end, and CG would become the next Inuyasha or BLEACH. Lulu's death, I believe, saved R2 from its plot-twist-happy endings in the latter half. It shut the book on the story, and gave a new life to the rest of the characters. To see it taken away, because someone at the writing staff wants Lulu to live for another season, is just plain sickening.
And I'm glad Ichiro confirmed his death. 'Because nothing is more definite of an answer than what comes out of the actual writer's mouth. Not a theorist, nor a hardcore fan, but the man who made the story with his own two hanRAB and mind. A pure definition of the term 'canon,' no doubt about it. And reinterpreting it just seems... desperate, IMO.