The Man in the High Castle

I love this book; this and Ubik are my favorite PKD books, and I'm nearly a completist.

Dick takes an idea which is becoming commonplace - multiple universes - but pioneers it and give it his own unique spin. Essentially, the people in the book are living a post WWII tragedy, where the bad guys won - and to them, our universe is the good one, they'd much rather be in. From this premise PKD weaves in multiple characters and storylines from when he was essentially at the top of his game. Excellent book.

Lots of effort is made to set up a very believable world in which the Axis powers defeated the Allies and split America into three. We follow the main characters through events that lead them to various conclusions. As tension heightens the narrative centres on a book, a work of fiction in which the Axis powers were defeated by the Allies and Britain and America divide the world between them, and how difficult it would be to live in that world. There are various twists along the way as the story of each character reaches a conclusion. The final twist though is left until the last few pages, and then we are left hanging.
No explanation of how it could be. Was it a figment of the characters imagination, a dream, or was it really true, and if so how could it be that the world was as the book has described it.

A fascinating world becomes real in the reading, but the end lets it down

or did I miss something?