Arthur died when fighting against Morgan's (his elder sister) son whose name I have conveniently forgotten. Arthur went to France trying to get back Lin Ling in which according to rumours, eloped with Lancelot (LOL, by the way, there were hints that Lancelot really liked Lin Ling romantically). This is when Morgan's son tried to take over the Arthur's throne in his absence as the Roman King. Arthur went back without retrieving Lin Ling and got KOed (Stabbed through the chest) by Morgan's son. Lin Ling was actually trying to run away from Morgan who casted Dark Magics on her, and Lancelot swore to protect her as the Queen's knight. Oh yea, Arthur, once enthroned, announced that he intend to take Lin Ling as his wife xD. Anyway, Arthur died, Lin Ling learned the truth about the whole King Arthur game. There's actually two game creators; Merlin and that pompous third prince (whose name I have forgotten again). After Arthur died, the game is supposed to end. Lin Ling asked to go back to save Arthur, which she did by getting the Holy Grail (the same one in the Christian bible). According to the game setting, once Arthur is the Roman King+ got the Holy Grail+ established the Knights of the Round Table, Lin Ling goes back to the real world in which she did. Though, the real world part is a lie. Anyway, Lin Ling (kinda) reincarnated into the modern world together with Arthur. They met on the way to school (Or was it university? I can not remember) and yayyyy happy ending. The last dialogue in the last episode:
"Looks like I came to your world, stupid girl."