I just finished A Korean Odyssey and the ending left me so... disappointed? Same with You Who Came from the Stars and Faith. At this point I just feel like Korean writers, particularly within the fantasy genre, do not know how to properly end a story. Anyone else in the same boat?

For me it was 49 Days. It was good up until the last two episodes.They ruined a drama which could have ended perfectly. I can't understand the reason behind the decision, unless it was made intentionally to shock the audience. 

Haven't watched Faith and Korean Odyssey. But the ending of You who came from the stars was some what reasonable. The ML is an alien and we get to know in the early episodes that living on earth makes him weak (as the time goes on), so it was quite acceptable.

By the way here are  some fantasy dramas which ended perfectly (IMO) : My Girlfriend is a Gumiho, I Hear Your Voice, Big, Manhole

"Bad" endings like the ones you referred to are a common problem in Korean dramas, surely, not just of the fantasy genre? Maybe it has something to do with the live-shooting system?

Yeah, the screenwriters must've had some ideas about how their story would progress and how it would end, but because they're not required to have complete script for a whole drama at the start of the shooting, they then have to churn out scripts episode by episode, as the drama airs, basically working under massive time constraint--which doesn't exactly help screenwriters in producing a more coherent, logical story. And since stuff like fantasy and SF are relatively harder to write (I mean, world building? That's not easy to create, not to mention to flesh out), it simply exacerbates the problem.

I don't know if I made any sense? And that's just my guess anyway