I just rewatched this movie for the first time since 1999 probably and I had a totally different reaction to the ending, seems most go for the “dream within a dream” are we still in the game?!? meme but actually it seemed very straightforward with no ambiguity. I think the only reason any thinks there is ambiguity is because of the guy by the door asking if they are still in the game.
The end is the real world, “Pikal” and “Allegra”(we never do learn their real names) are two realists who infiltrated the demo to assassinate the designer. All the stuff in the game about realists etc was just their subconscious anxieties bleeding through.
The fact the guy by the door asks if they are still in the game is just a confirmation of the realist manifesto, the games are effecting people mentally to the point where when confronted with gun wielding maniacs they just assume they must be hooked in.