I feel somewhat similar but for different reasons, I'm fine with the confusion of what's real and what isn't. It helps me connect with the character a little better. The reason I felt cheated was because that twist was so obvious. On the page before the reveal I just kept saying "Please don't be Khonshu" and bam there he was. 5 issue of buildup to what was suppose to be a huge twist, but a twist that only Moon Knight didn't see coming. It was a pretty disappointing ending to what had been a stellar first arc, it just didn't go anywhere interesting with it.