You have a point; and of course, there’s the rather darkly-humorous end to the Port Arthur massacre in Australia in 1996 (35 dead, 26 wounded):
(Martin) Bryant (the perpetrator) was captured the following morning (29 April 1996) when he presumably started a fire in the guest house where he was holed up. Bryant taunted police to ‘come and get him’, but the police, believing the hostage he claimed to be holding was already dead, decided that the fire would eventually bring him out. A large amount of ammunition had also ignited and was exploding sporadically as the house burned. He eventually ran out of the house with his clothes on fire and quickly removed his burning clothes. He was promptly arrested by the police, and taken to hospital for treatment.
Guess Mr. Bryant didn’t go out in the blaze of glory he wanted.
Like you said, sometimes but not always, after that rush of rage and adrenalin is exhausted, they shoot themselves. Other times, they rather meekly surrender. It all depends on the individual.
Completely forgot about that one. That was a very bad one.