Reminder of the details for those of you who have a hazy memory of the finale. ICE looked at Vic Mackey's resume including many charges, complaints and allegations of excessive force, and that he was a prime suspect in multiple murder investigations, and said "Yes please! Have full immunity!"
Good thing nothing like that would ever happen in real life.
Yeah, it was exactly this. He wanted to be the big action hero, so to him, rotting behind a desk on a short leash would be the worst possible ending. Even in prison he could play out his power fantasy, even on a small scale. Here, he's finished.