Humans are naturally curious beings. Because our brains are so averse to ambiguity, we constantly seek out the answers to all of life's unknown questions. When we cannot find these answers, we can become dissatisfied or distressed. When we can, we get closure, which can be incredibly cathartic.
Apart from psychologists, perhaps nobody knows this better than an effective storyteller.
The problem is, when it comes to pro-wrestling, there is a massive margin of error associated with long-term storytelling. Even if a creative team comes up with an excellent, months-long angle with a bombshell reveal at the end, factors such as injuries, suspensions, or adverse reactions from fans can leave said team fumbling about for replacements.
Or, in some cases, the planned "surprise ending" was a stupid idea from the get-go.
Of course, nobody hits a home run every time, and I'm sure it's difficult to write consistently-satisfying angles in such a dynamic environment. But no matter the reason, pro-wrestling has seen plenty of anti-climactic, disappointing, and downright silly "big reveals" in storylines.