Characters have become "dark" because they are living in a corrupt, capitalist system. Everything is for sale, even human compassion, and therefore no one really has a soul anymore. There's not exactly a change in heart, because this isn't exactly a traditional comedy, but you get the picture.
The dark figure is finally revealed; it's not Mac, or Peachum, or any of the characters, really. Rather, it's the injustice of the system. The idea that Mac could be saved at the last minute by order of the queen is completely ridiculous and unfair, but it's supposed to wake up the audiences to the injustice of their own society.