I read the manga. Apparently, Utena is some calyx thingy that guards the flower, botany bullshit, and she just up and disappears. And in the final panels, no one but the red haired guy remembers her, and Anthy is wearing Utena's clothing, saying something about the world still waiting for its revolution.
Didn't watch the anime, so I wouldn't know any differences. I read the alternative story, though, and it only made things more complicated.