The third episode of this strong series, ''Generalissimo,'' concludes with the last years of Stalin's life, from the 1939 non-aggression pact with Germany, through the victory of the Red Army in World War II, the takeover of Eastern Europe and the beginnings of a new purge before his death; he was mourned by millions of those whom he held in subjection. It is a grim history and a cautionary one.