Myth, congratulations on the conclusion of hostilities! We look forward to your additional discussion on the state of Europe and strategy.
I see the disappearance of Mussolini as an action of strategy to further the position of the Italian state. Surely he knew that after such an immense push, the army was exhausted and not fit for an immediate drive on Moscow--it could be not until 1946 that such an offense would be possible, if even advisable since by then, given several months the Soviets would have had time to prepare physically and diplomatically (such as: USA being historically sympathetic to the Soviet Union). And, importantly, Italy never wanted war with the SU. Persia... maybe, for ancient historical reasons!
With the fall of Poland and shattering of the Soviet spearhead (as well as the abject humiliation of the German army), Mussolini achieved everything realistic that Italy could do as far as restoring the Roman empire, and the next logical step is peace. But! Mussolini himself, as the architect of war, would be a poor peacemaker. Thus, he simply retired in a fashion designed to force a crisis, shock Italy out of conquest-mode and quiet the warmongers long enough for the Great Powers to come to the negotiating table.
From a plotting and alternate history standpoint, you have enacted a stroke of genius befitting your character. My hat is off to you, Myth. And, it puts the AAR firmly in the "plausible" camp, as opposed to the "conquer the world" category.
Since everyone is or will be requesting your next adventure, may I humbly suggest something truly challenging, like Bhutan?
--Khanwulf