From what I know, the last Wing Commander was indeed Prophecy, which was released to a lacklustre reception (I barely heard anything about 'till I got a chance to play it)
This is one of my all-time favourite franchises (behind Live, of course) as I loved having the movie-like elements interspersed with gameplay... and it also had one of the better story-lines of seen in games (which is usually pretty pathetic)
I think it probably become too expensive to do live-motion production with all other games companies doing the CG animation, and the cost of printing the CD's had to be a killer! (4 for WC3 and 6 for WC4!)
I still think Mark Hamill was a champion in these games