Heavy metal bands may not always be the best source of prescriptive grammar advice (the umlauts on Chüd, Güüg, Spüg & Rü-d, as an example of "Heavy metal umlauts" showing that they can break language rules with self-conscious irony, and other cases are just bad).
This is a reasonable enough case though. We can either consider it as:
[The end of all things] [to come]
Which takes "the end of all things" as a description of apocalyptic or revolutionary destruction (the former a popular source of imagery for heavy metal bands, but the latter suggested by the lyrics "Fuck all the flags, the greed, the world leaders"). It then states that it is "to come"; that it will happen in the foreseeable future.
We can consider it as:
[The end of] [all things to come].
Which takes "all things to come" as an optimistic or promised description of what will happen in the future, and then uses "the end of" to mean that this optimism, political promise, or source of progress will end.
Offering two ways to interpret it is ambiguous, even if we would lean toward one interpretation or the other.
This ambiguity is not a bad thing though. It certainly would be in a piece of technical writing, or furniture assembly instructions! But here, both senses match the imagery and message the titular song, and the album as a whole. In such cases, offering more than one meaning can be a good thing.
Best Answer
The bolded phrase means it's easy to fail to meet high expectations.
When someone has their "eyes to the sky" they are expecting a lot, and when that happens it's easy to "come up short" or "fall short of" or "fail to meet" those high expectations.