He was given an almost impossible task in competing with Google basically from scratch. Ya, he didn't completely succeed, but that isn't very surprising.
What happened at the end, I'm not really sure. I was pretty surprised when I heard he was gone with Harry Shum taking over most of what he was in charge of.
It was a strange departure. He apparently got in some kind of cycling accident and took medical leave from Microsoft for recovery, but then just a few months later he was a senior executive at Baidu. Not sure what was up with that.
But contra the GP, the general opinion both during and after Lu's tenure was that he did a good job. It took a while, but Bing is profitable now, and he did a lot to get that in motion. I imagine it can't be psychologically easy to run an unprofitable department for years with the eye on long-term strategy, especially in the Ballmer era, but he pulled it off. Bing is not the disaster money pit that a lot of HN assumes it to be.