So I finally managed to beat Alastor (level: Tower) on the trauma difficulty. The problem is that after it the game shows the final cinematic, credits and then the main menu. Chapter 5 remains locked. I was like: "WTF? Where's my Lucifer?" Is it a bug or I miss something?

It's because you played it on Trauma. On Nightmare or below, you would have gotten chapter 5, and a different ending.

Wow, seems I have to do it all over again on a lower difficulty. Thats just ridiculous.

You can play chapter 5 on Trauma via a mod from
http://www.kalme.de/painkiller/index.php/content/view/20/43/
There's also a save anywhere mod for Trauma difficulty at the same site. Not to mention the wonderful Powermad mod (already touted in this forum in another thread).

This is an unfortunate result of Trauma difficulty being unlocked right from the start in the Black Edition. Trauma was intended as a hidden difficulty level that only unlocks after finishing the whole game at the regular "Hard" difficulty. Unlike in most games with a hidden difficulty, in PK this is directly related to the story; Daniel Garner is told to kill the four generals, however at regular difficulty, absorbing the enemies' dark souls causes him to grow rash and go beyond the call of duty, which is what happens in chapter 5, eventually leading to the "bad" (but canon) ending. On Trauma however, there are no enemy souls to be collected so Daniel's soul is never corrupted and you get the (rather lame and non-canon) "good" ending and he never goes to hell (so chapter 5 never happens).

Not to Necro but this saved me a lot of headache. Thanks for the explanation.