I haven't started that particular series yet, so forgive my ignorance, but is it finished... or does it have some semblance of an end? You said after book 5 it starts converging, so does that mean it takes another 5 to close everything up or rather that some stories are simply never finished?
I started re-read #3 of TSA, currently about 1/3 of the way through TDTCB, but after I finish the first book I might segue into something else (maybe this?).
You start to get a sense of what the main conflict is going to be during book three (combined with "spoilers" compliments of the titles of the later books). Without giving anything away, I will say that the main series absolutely does resolve the main story. Due to the scope, there are many secondary conflicts that arise and get resolved, as well; some connect to the main conflict, some are more for character development.
There are, of course, other interesting plot lines that arise that don't get resolved, but they aren't integral to the main story. Off the top of my head, one such plot line pops up in the third book, and a potential deus ex machina for the main conflict gets pulled into that situation never to be heard from again (until Ian C. Esselmont's next book, that is).
The magic system actually gets fleshed out really well, but leaves enough mystery behind to prevent disillusionment. Some might disagree, however.
Anyway, in addition to the main series, you have the Ian C. Esselmont novels which fill in stories alluded to in the main series. For example, his first novel deals with the transition from Emperor Kellanved to Empress Laseen. His sixth novel will deal with a plot introduced in the third book, like I said above.
Erikson is about to release the second book of a trilogy dealing with the elder races, the elder gods, and the origins of the houses of magic. His next trilogy will deal with a character who made it to the end of the main series. This character has a goal in mind that didn't get fully developed in the main series (again, it was auxiliary to the main conflict in retrospect), so it looks like that will get resolved after all.
Like you said, an immense world has been created, with endless potential for storytelling.
The Malazan Book of the Fallen is only one of these stories, and the end of that book does indeed conclude the story about the title Fallen.