Watched the episode last night. I agree, it is the only way that Owen could go out. I really liked his character though, so I am sad to see him go.
I agree with all of you, Buscemi nailed it during that scene. His reaction was spot-on. The only thing I think Margaret could try and explain away is that she doesn't want that life for her children and her reaction was based more off of that, rather than an affair. I don't see the writers trying to go that route though. I think it will simply be an understanding between Nucky/Margaret and I feel like his comment about a "new start" was a bit of foreshadowing for their relationship moving forward.
Gyp is gonna eat it before this season is over. He is too unpredictable for any of the bosses to trust for a long period of time and it's bad for business. We still haven't seen the rise of Capone just yet either.