I hated the death of Vanessa and subsequent Madlax/Limelda end in Madlax because the first was so anticlimactic and the second was one of the most blatant Karma Houdini moments in anime history. I thought Mashimo was better than that. Then I realised that Mashimo is better, and far far subtler, than that: Margaret's Gift had the capacity to resurrect Vanessa, Elenore, and possibly Carrossea, and Madlax knew that, which is why she had no compunctions about teaming up with the woman who shot Vanessa. The Bittersweet Ending becomes a Happily Ever After when you think about the subtleties of the show's universe for a while. —The anonymous Madlax/Vanessa/Limelda-OT3ing troper.
This remains an iffy one, since Limelda still shot Vanessa when nobody knew she would be resurrected, so why would Madlax follow her? Also, why don't we see Vanessa with Madlax as well in the end?
The relationship between Madlax and Limelda is an insanely codependent Masochism Tango that's sort-of-stabilized by the end. Vanessa lives in another country and Margaret presumably put her back there, since her Wish involved Vanessa being her Kramer again.
Except that the end of Madlax is about facing and accepting reality, as Madlax herself tells Friday Monday, not twisting it to suit your whims. And the reality that Margaret had to face was one where her friends were gone. She could have undone that, but to do so would have created the same sort of lie that Carrossea had been living for years, with the same disastrous effects on the personalities of not only him, but also Elenore and Vanessa.
What happened to Madlax being Immune to Bullets when Monday shot her in the end? She became a real girl. After Margaret split of her off from herself for the second time, she made Madlax a regular human being this time around—one who bleeds and suffers wounds normally. Which is why she needs Limelda to drive her (presumably to a hospital) in the final shots.