It seems somewhat naïve to suggest that Millennium wasn't intended from its inception to be a multi-series show with a significant underlying conspiratorial storyline. The escatological themes, the Millennium Group itself as a secret society with initiation rights, Frank Black's supernatural gift, suggestions of a guarded knowledge that relates to catostrophic events yet to come in the countdown days to the millennium; the similarities with the underlying Alien Invasion conspiracy in the X-Files would seem to be blindingly obvious. Frank Black's visions and the Group's interest in him clearly suggests there are others with different but similar powers (though this is not explored in much detail), who are and have been identified by the Group and nurtured in a time honoured tradition so that they might be gathered to the fold, the inner circle of knowledge or Truth, which cannot be merely told but must be understood by oneself. Peter Watts (and others) can only point the way. They can't take Frank there. And about the events that are to come and the Millennium Group's involvement and knowledge of them, the story telling device is clearly to drip feed us tidbits of the larger picture over the course of many episodes, while the main protagonist, Frank Black, instead of investigating unexplained phenomena as in the X-Files, investigates serious violent crime and serial killers. In fact, it is only when you appreciate that Frank Black's journey is like a path towards enlightenment and how he, with the Millennium Group's guidance, might be working to save humanity from being totally overwhelmed by certain predicted and unavoidable catastrophic events, that the show becomes interesting. The larger idea of a cosmic struggle between good and evil becomes apparent, which while it may be a nonsense in reality, nevertheless raises interesting ethical and spiritual issues in the context of the show.
What is an inevitable flaw with Millennium, as I feel was also the case with the X-Files, is that these underlying themes can only support interest for so long. Sooner or later the hand must be played which demands action and resolution. With the show planned to be axed after the Second Season, it ought to come as no surprise that the producers hastily brought into sharper focus the underlying escatology and related issues and by so doing compromised some of the show's integrity by attempting to resolve them in too short a time. A similar rapid wrapping up of long standing plot threads can also be seen in the final series of Enterprise, when surely the original plan would have been for a gentler paced exposition over subsequent series.
On a more critical note, of course there are some episodes of Millennium that we could either have done without entirely or that raise questions that are not adequately addressed in later episodes. But in many, many ways Millennium is like a gem in the rough and clearly could have been so much more. While I think the X-Files just looks almost silly and childish today, Millennium is perhaps even more thematically relevant in 2008, post 9/11, than it was in 1998.