The last guy is behind a movement puzzle. It's a deliberately obscene sequence of glides through the room where the first teleporter leads. But it's also possible to kill him with rockets against a nearby wall, because their hit detection is really dodgy. Missing enemies are easy to spot in the Edit mode if you hit Select a few times.
If you'd like a different challenge run, it is possible to stand on blue guys as they raise out of the floor, and complete the first level in about ten seconds.