There are two meanings.
One, set in the story: Henry says "Got to live the rest of my life like a schnuck". And smiles. Then "we" get to see the reason why he smiles. He get to live because he is in witness protection. Something for what Tommy would have killed him.
Second one is cinematic homage: scene like this appear in The Great Train Robbery (1903). A scene that have no actual correlation to whole movie apart from realism (as stated by production company). This serve as a counterweight to Henry/Ray breaking the fourth wall by looking directly at camera. Which is then followed by "facts" about future life of Henry. So it give audience a feel that the movie they just have seen is based on real life events.