Dramatic Effect and to ensure that David Packouz is the main protagonist in the film
The purpose of the last scene was for dramatic effect and to ensure that David Packouz is the main protagonist in the film.
The film was based on a 2011 article from Rolling Stone Magazine. David Packouz (one of the real life arms dealers) was interviewed several times for this article. The article then got the attention of Todd Phillips, who directed War Dogs.
David Packouz was involved in the making of the film as well as having a small cameo in the film. So, it is only fitting that Packouz is shown as having a "moral" character in the final scene of the film by not implicating Henri in anything and questioning the death of his driver in Libya.
This never happened in real life according to History vs. Hollywood:
The briefcase of hush money that Bradley Cooper's character gives to David Packouz (Miles Teller) might give the movie a nice note to end on, especially for Miles Teller's character, but it's completely fictional.
David Packouz himself even states that there were certain scenes added for dramatic effect in an interview with Adam Carolla:
Some things were added to spice things up, like that whole desert scene.
I never really made that much money in the arms business, despite what they show you in the movie. I made some money, I was able to get by. But, most of the money I was going to make was gonna be from the Afghan contract that is the high point of the movie and as you saw in the movie, that's all true. I never ended up making any money from it.
Due to the fact that the real David Packouz was very involved in the making of the film, it makes sense why filmmakers would add this scene to give somewhat of a closure as to what happened to the driver in Libya as well as ensuring that audiences would be left thinking that David Packouz has a strong moral character.