ALF was a kid's show about an adorable furry muppet alien who'd crash landed on Earth. Out of respect to the family that took him in and hid him, he wouldn't eat their family cat, a delicacy on his home planet of "Melmac".
One of the recurring themes in the show was the importance of ALF never being discovered, because if so, the consequences would be dire. Men in black suits with black ties, storming the place, imprisonment, vivisection, and worse. A bit heavy for a children's show with a muppet, but it was just simply a plot point that reinforced the need for secrecy.
And the show decided to do what many shows do - have a two-parter with a "cliffhanger" at the end of part 1, with part 2 resolving the story at the beginning of the following season after a break.
And what a cliffhanger they had planned. The aliens from the planet Melmac finally find ALF and send a rescue party, so he goes out into the open to be rescued by their ships. The spacecraft have also attracted the government's attention, so it is a literal race between ALF and family and the government to see who gets to the rendezvous site first. To make a long story short, the episode and the season ends with the spacecraft abandoning the mission at the last minute, with ALF and the government Men In Black seeing the Melmacian craft, that tantalisingly close to rescue, leaving ALF standing, open and clearly obvious for what he is, surrounded by police and government agents, ready to take him into custody.
They cancelled the series during the summer and never filmed the finale.
So that's how ALF ends. The family, clearly about to be under arrest, the Melmacian UFO streaking back into the sky having left ALF literally for dead. And ALF, stammering quietly in the harsh spotlight, most certainly to be captured, interrogated, tortured and vivisected.
A fitting end for a children's show, right?