RORY: Do you ever regret the fact that you didn’t become a clown?
MAX: I don’t really believe in regrets. All my experiences, even the ones that didn’t turn out the way I wanted them to, I firmly believe they were all worth it.
[Rory turns off the tape recorder]
RORY: I just want you to know, I really wanted you to be my stepfather.
MAX: I just want you to know, I really wanted to be your stepfather.
[They’re silent for a few seconds, then Rory turns the tape recorder back on]
This scene allows Rory and Max to get the closure they need, because Lorelai’s method of dumping her groom by running away days before the wedding didn’t allow for any. With typical self-centredness, Lorelai never seemed to have considered how awkward she would make that for Max and Rory, who have to continue seeing each other and working together at Chilton. Perhaps Headmaster Charleston isn’t so unreasonable for frowning on teacher-parent relationships.
It’s believable that Max wanted to be Rory’s stepfather – he had a big fight with Lorelai when he thought she was shutting him out of Rory’s life, and was quick to offer Rory comfort and advice when he knew she was going through a breakup with her boyfriend. It’s less convincing that Rory particularly wanted Max as her stepfather though, as she showed little sign of that when he was spending the weekend with she and Lorelai. It was only after Lorelai dumped Max that she was suddenly upset about it. Perhaps she came to realise what she was missing out on.
Max’s statement that he doesn’t regret any life experience, even those which didn’t work out, is a very graceful way to let Rory (and the viewer) know that he bears no ill will towards Lorelai, and that he will essentially be alright.