Also, without the 3-pile rule we'd lose our rush strategies too. No more Workshop/Gardens rushes?
To the OP:
The situation you're describing is different though, as it involves one player's mega-turns going off before another players. You were hoping for an epic game, right? I think the problem is more that KC is a mega-turn card, as is Goons. And there was +buy in that game too. There will be other games where a player is playing KC-Saboteur every turn and for that player to empty out the piles would be an act of mercy.
I think it's inevitable that there are certain kinds of Dominion games that we just aren't going to like, as there are so many ways that a Dominion game can play out. Some are just bound to be more luck based that others, too.
But uh, what's this about not getting a few VP cards as insurance to protect you from 3 pile endings like that? That's like, a whole extra layer of the awesome complexity of Dominion that you just have to get used to.
A word of caution: I'm one of those players that would do something like you described. I tend to pay particular attention to how a game can end in 3-piles, sometimes many turns in advance. In fact, I'm glad that 3-pile endings do exist to sweep the rug below players that could otherwise take advantage of their luck to build a super engine. As it's been said, a player who gets their megaturn to go off tends to win anyway. Is it any more fair if a player with a lucky turn could just empty out all the Cities instead of greening, because they don't have to worry about 3-pile endings? Sometimes, the threat of 3-pile endings actually balances out the game a bit.