Moon Knight was a series that dared to be totally distinct from the Marvel Cinematic Universe. Not the least of which was the absence of any "at large" MCU connections (except they were taken into consideration), and the show's treatment of mental health and the protagonist Marc Spector's journey to overcome his childhood trauma by creating a dual personality of Steven Grant. However, many fans felt that the use of the villain Arthur Harrow was also handled well.
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With the assistance of the Egyptian Sun God, this cult leader sought to create a "better world." While that in and of itself is a cliche, he truly wanted to improve people's lives and was more than willing to give himself as a sacrifice to his gods when he realized his own scales weren't in balance. He was fully dedicated to the cause and wanted the world's security.
Naturally, Moon Knight stopped his and his god's plans from coming true and combined them so that they would be powerless within of one another. But it didn't actually finish that way. Instead, it ended with Jake Lockley, another split personality of Marc, shooting Arthur Harrow four times before going in his limo. Jake Lockley is the former master of Arthur Harrow.
That would usually be the end of the issue. However, Ethan Hawke, who played Harrow, made a mockery of this in an interview, saying, "Sure doesn't feel dead to me."
That could mean a lot of different things. In fact, it is unknown when Moon Knight will receive a second season. Additionally, Harrow may make an appearance in other storylines. Since Marc Spector's past is much more detailed, his is less so.
Source: ComicBooks and Gameranx