Yeah it would be nice. Some have a decent story to em and it makes you wonder, "Okay now what"...then nuthing! But others use the "hentai logic" and dive straight in to the action so its like, "Okay we got what happened but how is the real question"
For me it's like they leave it off as a cliffhanger for the next chapter to happen but never does. I know some of the video ones are from visual novels and I think they leave it like so you can't get a "true ending" but others. A big damn what the hell is all that's left.
I actually look at doujinshi as something that gives you more to the story since doujin's are parodies of other works. They give you all of the "what ifs" that the original works lack and even create new idea's that you never thought could work (and still don't lol).
With hentai manga, I think most of them end pretty decent. In hentai world you end up screwing someone lol.