Across the three films Neo (in the 'real' world of the machines) zapped the spiderbots. Was clearly handed a spoon ("there is no spoon") and even, when blinded, 'saw' the machine-world in terms of what I call "fiery matrix". Also, it had already been stated that humans had never believed an earlier 'perfect' matrix and so the current one had trials and tribulations. And had not the pod-born of Zion been humans who had rebelled against even that version of the Matrix[1] and now (mostly) happy that they were out of the computer-generated world that was a relative nirvana and living in something so depressing that it
had to be real.
Ergo, the Revelation should have been that Zion was just 'one layer out' of the simulation, with a unknown number more (>1) to go before
actual reality. Indeed, if this is the case it's not even known if all the inhabitants of Zion or the were truly human or actually 'agents' (not to be confused with 'Agents') either faking existence or not even self-aware of their status...
One ending I had considered involved Neo being the sole 'player' in a multi-layer simulation, although the most likely scenario is that the 'key' characters were all players of the multi-layered Matrix scenario playing a rather involved game full of non-sentient actors in both Matrix and Zion layers. You'd be talking about Neo, Trinity, probably Morpheus, mainly, as real. Perhaps even the Oracle (it's not unknown to have 'wizard' or characters or others playing 'informed roles' in various table-top games, so why not in a simulation?) and I'd allow even Agent Smith (and of course Cypher) if it wasn't supposed to be an entirely cooperative arrangement.
[Meant to add: And any
truly real players who 'died' (either in The Matrix and thus in Zion, by disconnection in Zion and thus dead in both or just by Machine attack in Zion while not even connected to the Matrix) might well be considered physically dead in Zion (as is their avatar in the Matrix) but could have allowed a slightly saccharin 'feel-good' ending[2] as the 'fallen' players are there, watching the game play out to its conclusion on the monitors, and you could even get 'Agent Smith' sitting up and congratulating 'Neo' on a well-played game, and the two youngsters laughing and giggling and running over to their father who was anxious to get them home and to bed so they weren't too tired for school in the morning... Although, I must admit, taken to this extent it wuld have been an even worse conclusion to the Trilogy than the one that actually occured.
]
But, ultimately, the fact that no-one appeared to overtly (the presentation of the battered spoon to Neo in Zion, apart) question whether they were not still within some form of Matrix is rather strange.
[1] Yes, there's the whole back-story given to Neo about the recurring Matrix/Zion and the 'survivors' of the battle of Zion being used to start the new Zion, but this information is imparted by a Matrix entity who may or may not be giving truthful information, aware about whether the information is truthful or not or even self-aware at all.
[2] Or possible ending, there's still the chance of "more layers to break out of"!