I think that is exactly what it was, he had found someone that he thought was a smart, empowered woman who could challenge him and he was left with is someone who is obviously as emotional fragile as Betty and the thought terrifies him. The entire plot reminded me a great deal of Betty being a model, and actually I thought that she was supposed to be at one point in time a strong, empowered woman who traveled the world and was well educated and had dreams and ambitions.
I think that Don was just disappointed that Megan limited herself to the advertisment, seeing it as a failure of her and by proxy a failure of him. I don't think it was a case of he was seeing her go, I think it was a case of he was seeing her crash. The dreams of being a ballerina were dashed and she had resigned herself to her position in life, of a wife of an ad man.
I could be completely wrong though which is why I love this show.
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