In Loki's season 1 finale, He Who Remains talks about a threshold being crossed which many of us have long suspected was an indication the Multiverse had just returned. Sylvie killing the Kang Variant seemed to cement that, hence why it began branching off uncontrollably.
Throughout season 2, we learn those branches can't thrive and that they all eventually die. It turns out this was He Who Remains' plan all along as the Time Loom was only ever designed to power his one, singular "Sacred Timeline."
By setting Loki on this path and granting him a mastery over time, He Who Remains seems to believe the Asgardian will take his place - or join him - in the Citadel at the End of Time, keeping watch over his greatest creation. Instead, Loki chooses to give people free will, destroying the Time Loom and creating a Multiverse he sits at the centre of even if it means war is now inevitable.
So, how does this set up Marvel Studios' Multiverse Saga and what does it mean for the MCU's future?
Well, both Loki seasons 1 and 2 are now confirmed to be a prelude to this Saga. The show takes place shortly after Avengers: Endgame and arguably ends right before our first exposure to the Multiverse (which may have been Mysterio in Spider-Man: Far From Home seeing as he mentioned "Earth-616" or perhaps No Way Home when Doctor Strange's spell went wrong).
It's hard to say when the TVA exists outside of time (as does the Citadel), but Loki recreating the Multiverse to give everyone in every single reality the chance to fight back against the Multiversal War is the perfect way for him to finally find his "Glorious Purpose."
As He Who Remains points out, Loki is always destined to lose, so perhaps his Multiverse will one day fall. We've seen hints of that with the incursions which destroy realities, but even if all those timelines are eventually destroyed, Loki has allowed everyone on the Sacred Timeline to escape the loop they were stuck in and make their own choices.
Plus, if those timelines do eventually boil down to just one remaining "Battleworld," Loki will be free to enter the fight, with the God of Stories pitted against Kang.
As for the TVA, while they're monitoring the situation with He Who Remains' Variants, very little is revealed about what they intend to do next. However, that should lead directly into Deadpool 3, a movie we've heard will feature them assembling a group of heroes from across the Multiverse who stand a chance of defeating the Council of Kangs.
Loki could be left as a standalone tale which simply introduced a lot of concepts Marvel Studios can expand on, all while providing important context for the Multiverse's creation for the fans who care to dive that deeply into it. However, we think the villain-turned-hero will be incredibly important to the Multiverse Saga down the line and while he may be alone at the end of time right now, he may well be the one who eventually saves the day.
Oh, and as for whether the Loki finale ties into The Marvels...yes and no. While there's no direct connection, there is one part of the storyline that could be explored in future MCU films or shows.