Hi there! There is nothing like a good Shakespearean tragedy, from Coriolanus to King Lear to Macbeth.
Shakespeare's later plays were tragicomedies or romances, and I agree with you that this was a shift away from the destructive and often blood-drenched battle-fests in his tragedies. His later tragicomedies were Pericles, Cymbeline, The Winter's Tale and The Tempest. He later collaborated on two more plays with another playwright before he died, but these last four plays portrayed more of a message of reconciliation and restoration and more of a sense of redemptive salvation than his violently retributive tragedies. Some thoughts on the seeming discrepancy between his earlier tragedies and later romances (tragicomedies):
1) Shakespeare wrote tragedies because they were very popular and economically viable. From the standpoint of economics, tragedies were a money-maker.
2) The later romances/tragicomedies were redemptive because he was approaching his final years; history tells us that Shakespeare changed his will before he died. He bequeathed a small sum to his daughter, Judith Quiney, but left her husband, Thomas, out of his will. It was rumored that Thomas had impregnated another woman, Margaret Wheeler, before he married Judith. Initially sentenced to public penance, his sentence was commuted to a small fine and private penance, but this worried Shakespeare enough to change his will to protect Judith's inheritance from Thomas. He may have also been trying to protect his own legacy from an unscrupulous son-in-law. Shakespeare's last plays may have been a private catharsis of sorts as he wraps up the final responsibilities of his life.
3) Shakespeare's son, Hamnet, died tragically at the age of eleven, of unknown or unrecorded causes. His last plays featured prominent daughters who proved to have beneficial influences on their respective fathers. Shakespeare's other daughter, Susanna, was well-loved. She married the famed and prosperous Dr. John Hall, which must have warmed Shakespeare's heart very much, because he made both Susanna and John executors of his will and estate. In Pericles, Apollonius of Tyre receives new courage to face his past guilts through the loving ministrations of his daughter, Marina. In The Winter's Tale, Perdita plays the role of ministering daughter to King Leontes. In Cymbeline, Imogen is the virtuous daughter of King Cymbeline. In what many consider his final masterpiece, The Tempest, Shakespeare's Prospero, a dramatist famed for his great power to persuade others, can now retire in peace when the union of Ferdinand and his daughter, Miranda, brings about closure and forgiveness in a brotherly conflict. Prospero has to say farewell to his spirit servant, Ariel, and finish up the last acts of his career: to drown his magic book and to be set free from the island. The Tempest is all about closure, a perfect mirror of Shakespeare's own situation in life when he wrote the play.
4) Shakespeare's last plays are full of supernatural elements, unusual plot twists and improbable story lines. They talk about chaste daughters who take virtuous lovers (perhaps mirroring what Shakespeare considers the perfect union of his own Susanna with the estimable John Hall, contrasted with the union of his other daughter, Judith, with the flawed Thomas Quiney). Some argue that Shakespeare showcased his considerable artistic prowess as an effective dramatist to discuss pertinent social-familial issues he was himself dealing with.
5) Shakespeare's male line, having ended with the death of his son, Hamnet, leads him to rely on the fertility of virtuous daughters to carry on his legacy and heritage, to prolong his youthful powers and accomplishments. Shakespeare himself came from a powerful matriarchal line and the daughters of his later plays symbolize this powerful matrilineal fidelity and fertility, both redemptive qualities that rejuvenate the aging father in his last years.
Thus, the earlier tragedies with long soliloquys of regret and guilt at death's door are replaced with the theme of salvation by redemptive daughters in later plays. It's just what Shakespeare is facing in his own life: protecting his legacy through the "right" daughter, Susanna. Interestingly, Queen Elizabeth continued Tudor power after the death of her father, King Henry VIII. So, Shakespeare experienced the importance of matrilineal heritage in his life and he also saw it acted out across the political landscape in his beloved England.