Major spoiler below, so don't read if you haven't watched the finale yet.
So they all created (in their minds?) a parallel universe for them to be together again after they all died?
not as i see it.
Jean-Paul Satre wrote that "Hell is other people". Lost has it that, conversely, Heaven is the people who really matter to you.
The "meeting up eventually after they all die" aspect of the ending addresses the concept of an afterlife from a non-denominational perspective (the windows in the "church" they all meet at display symbols and images from many different religions). Rather than clouds and angels, Lost says that when you die, you are rewarded by being reunited with the people you have
lost (the final meaning of the title) along the way.
The adventures the characters went through in this version of reality were symbolic of the jouneys their souls had to undertake to be able to reach the point where they we re ready to be reunited and enter "heaven" at peace with themselves and one another.
The "heaven" aspect of the ending was,i thought, a great way to reward the characters and the fans with the reassurance that, in the end, they are reunited, and i think it was included primarily for that reason. the plot concluded with the events on the island - which really happened, it wasn't a dream or a parallel reality or anything like that. the "heaven" ending was like an afterword.
i was a huge fan of the show and loved the ending.