I just understood everything!
Ok, if you watched all the creditd you would have seen the last cutscene. OMG, after I saw that I understood everything! Even why Alice died.
SPOILER ALERT!
Ok, just for the curious ones. Mary Ann escaped from prision (probably the one we were on chap. 2) and killed Alice, so she could pretended to be her, and wouldnt be caught again. After a while she killed that Heart Queen b*tch that locked her down and killed her Rabbit friend. Revenge is sweet.