The thing about MCOG is that it is, at its core, a story about three kids desperately trying to go home. Tao is trying to find the heritage of his culture, Zia is trying to go back to her family, and Esteban is desperate to find a place, any place, where he can belong to.
Esteban, moreso than the other two, is someone fundamentally alienated from others; he is a kid from nowhere, who belongs nowhere, with no roots and no home. Wherever he goes Esteban is defined first and foremost by how he differs from the people he meet there. He is a obviously stranger in America, as someone raised as a catholic European, but he's just as much of a stranger in Barcelona, where people force divinity on him, just as much of a stranger in the Church, where his one family dies & he's branded as a heretic. Tao and Zia are both people who belonged somewhere once and are now trying to find their home again. Esteban is someone who has nowhere at all. He is the Son of the Sun,, which means he's considered more than human, which really just means he is not human at all.
Esteban's search of the cities of gold is symbolic; he's looking for his father because he wants, more than anything, to belong somewhere. Anywhere. But just like the cities of gold, just like his father, this is merely a fleeting dream that cannot become real. The road to the city of gold is riddled with traps, illusions, and dead ends, and the actual city sinks not long after he finally finds it. He is unaware he has met his father at all until long after the man has sacrificed himself for his sake. The moment Esteban finds his family, the moment Esteban finds the city of gold, is the moment he loses them both.
That is the personal tragedy of Esteban. Sequel nonwithstanding, there wasn't really any other way for the show to end. The entire story hammers home times and times again the idea that Esteban does not belong anywhere. His father is effectively dead from the moment Mendoza tells the story of their first meeting. Esteban's journey will never end as the only place he will ever be able to stop at and rest will be inside his grave. He is the son of the Sun and therefore is a foreigner to the entire Earth. Mythical city of gold included.