Some people here have seen parallels to the Kennedy assassination in that scene, given the circumstances and the time frame. However, it was partly based on real life: Meyer Lansky, on whome Roth is modeled, attempted to emigrate to Israel in the Seventies. After being turned down by the High Court, he tried South America, then was returned to the US, where he was arrested by FBI. He was not shot, but the filming of the scene in GFII is an almost exact copy of photos of Lansky's arrival at Miami.
Many people here have commented on why Rocco was sent on an apparent suicide mission, and why he accepted it. You will find a good discussion here:

http://www.gangsterbb.net/ubb/ultimatebb.php?ubb=get_topic;f=1;t=005863#000003