After the credits finish rolling, Volkov is seen very much alive and talking to the drunk who appears in many scenes.
In the end credits, a video shows Volkov talking with the drunk who appears in most scenes. In the sequel game, "No One Lives Forever 2: A Spy In H.A.R.M.'s Way", the drunk is the head of H.A.R.M.
If you kill the monkey in Morroco you get a "Mission Failed" screen which says "unacceptable simian casualties"