One thing about the movies that have bothered me, is that the Middle Earth that's painted in Peter Jackson's vision feels extremely underpopulated. It isn't. Sure one can point out "hey it's a movie," and that it is difficult to fill in that information for the viewer at a glance, but there was a lot more that the crew could have done to fill in some of the blanks.
This gives this impression that the world will end even if Sauron loses, simply because the Elves are going away. Very "this is the final battle" sort of feel. Only some of the Elves are going away. The native Elves of Lorien and Mirkwood have no reason to travel West. because that's not where home is for them. Granted, this makes life a lot easier for the filmmakers, and I am not sure they could have pulled off such an adaptation otherwise. It definitely would have compromised how Arwen was portrayed in the trilogy, and taken a significant amount of emotion from the character and her decision-making process.
If it makes anyone feel better, I actually liked the Appendices more than the actual movies.