Just to play devils advocate for a moment...
Last night was absolutely incredible and I don't think there are many, if any, managers in the game at the moment that could have pulled off that comeback. Rafa always used to talk about 'mentality' and you can see that in a short period of time Klopp has instilled that into this team in spades.
But, if you wanted to sound a note of caution the game also suggested the potential vulnerabilities in Klopp's approach. From our point of view, we started that game exactly as Dortmund knew we would and got picked off almost immediately. After the first went in the game plan really needed to be set aside for 15/20 minutes to regain a foothold in the tie but instead we carried on charging up the pitch and got caught again. For me, for that 10 minutes we played completely into their hands. 9 times out of 10 the tie is done at that point, as wonderful as it was that last night was the remaining 1.
From the point of view of Dortmund (who I think are still playing very much in the way that Klopp instilled in them) they found themselves in an incredibly strong position but seemed unable to change to a style of play that could protect that position and kill the game off. As good as the players/crowd/Klopp were, throwing away a three goal lead twice is unforgivable for a team at the top level.
I remember feeling absolutely euphoric about our prospects in Feb/March/April 2014 - it really did feel like we could beat anyone. But when I look back in hindsight at the Chelsea/Palace matches that followed I feel a real frustration that we were unable to take the more pragmatic approach that would have won us the league. My slight concern from watching last nights game is that a 'pure' Klopp team would have taken the exact same approach as we did back then.
Obviously it is really early days and Klopp hasn't had a chance to bring in his own players and have a proper pre-season. I share the general sentiment of this thread in believing that he really is going to take us to great places. But being a bit of a worrier, last night left me with the slight feeling that Klopp needs to add that one more string to his bow.
Rafa keeps hammering home the importance of 'mentality' at Newcastle too, and it's easy to forget that under Rafa we were hellishly stubborn at times. I've certainly underestimated the importance that managers should place under mentality, certainly stark for us since Rafa left - I've always thought it is something that you can struggle to change in a player, but I am completely wrong.
Prior to when Jurgen arrived, I would never have thought these players were capable of doing what they did against Dortmund. It's amazing what a manager can do for the mental state of a player. It's not so much a managerial thing I suppose, but more to do with the characteristic of the man managing a club, and it's obvious Jurgen is special in that aspect.
However, I completely disagree with the rest of your post. Yes, in hindsight, we should have set up differently but it is the nature of Anfield that our team ATTACKS. It's not intimidating just because of the supporters - it's a long lineage of putting teams to the sword. So, for example, what about more 'pragmatic' wins then - such as the famous semi-final in 05 against Chelsea? Well, although the score line suggests otherwise, we absolutely blitzed the start of that match and maybe should have been 2 or 3 up in that first period.
Also, it is important to realise that great managers can set up their teams poorly - but the important thing is for them to know how to rectify the mistakes made. And Klopp did that in emphatic style, likewise Rafa made a mistake in his setup for Istanbul, but he rectified it and was rightly hailed for the turnaround.
And I don't wonder 'what if' we had gone pragmatic against Chelsea two years ago in the league - it is completely pointless. There was absolutely no evidence or reason to suggest from the preceding games that season that we would have been successful in that approach anyhow, particularly with a defence as liable as that. People use that game (and the Palace game strangely, which we HAD to attack - how the hell could we have been pragmatic if we were aiming to try and chase down the goal difference of City?) as a stick to beat Rodgers with, well I could just imagine the shitstorm on here amongst Rodgers haters if he had gone pragmatic and it backfired. If it ain't broke, don't fix it - in the context of that time period, it would have been suicidal to change the way we played. There is absolutely no regrets with the way Rodgers set up his team for that Chelsea match in my opinion.