ปิดฉากไปเสียดีกว่า

from the Seua Thanapon song

Any idea what this phrase means?

I'm guessing something like

"Better to close the curtain and be done with it"

I think in this context, ฉาก means episode or chapter.

ไปเสีย , go away?

I would have a shot at, better to close this/the chapter and move on/go away.

It means "It's better to close this chapter."

or It's better to quit this issue.

ไป belongs with ปิด as in ปิดไป so it would not mean to go.