It refuses to provide the satisfaction, which makes us aware of that expectation perhaps more than if it had provided it. Certainly that is the case for me. If it had provided perfect closure, I would have closed it and moved on. I think the reason why I keep returning to it is because I am never allowed to feel that.

I agree that the characters are not what they should be in this book. It is one of my main problems with it.

The question about the propriety of revenge, though? It permeates the book. As Jen noted, the scene of the execution is quite interesting in that respect in that it provides a counterpoint in the official (rather cruel) form of justice. As I see it, there are three voices in the discussion within the book, neither one of which is really dominant:

The first is that vengeance is right -- this is the Count's position. It provides the main tone, the force of the story &c. All the while, though, it is tempered by the Christian mores of the society that surrounds the Count, and also in the voice of Faria, which labels Vegeance as wrong and tells you to forgive your enemies. This is what is taken up in the end when it is made explicit in the Count's doubts. And the third voice then ties this dialogue of the other two to the justice of the state, centred on the execution scene. All the while this is surrounded by variations on the theme -- the Corsicans, Bertuccio, Benedetto...

Regarding Faria's book, I think you will find he did take it with him when he visited the prison at the end. He could not have taken it when escaping, as it would have been ruined by the water.