If you do the White Side first, the cutscene before the final battle with Max really shows just how broken he is, begging Leo to kill him and blaming himself for Ondine's death, before his Ax-Crazy side comes out and he attacks Leo. Then, throughout the fight, Max keeps on switching between his normal side and his psycho side as he attacks you, culminating in repeatedly begging Leo to kill him, then forgetting who Leo is, then letting out an agonized scream all within a few seconds. It really does show just how tortured the guy is. To top it all of, the music that plays in the fight is Max's theme, Testin' Me, which has lyrics that could very easily be interpreted as Leo recognising he may have to put Max down, and completly hating himself for it.
This world is stressin' me
Everybody's testin' me
I just wish they'd let me be
Because the ones that I love, they in pain, saying rescue me
Even before that, the technically second reunion between Max and Leo's depressing in a somber sense. You see the two of them talking and walking down the street, and Max is acting like they just haven't seen each other in a while. He's talking about no longer being on the force like he retired rather than went rogue, and they just chat about cases. Leo keeps asking him to come back to Milvalen, and then Max starts talking about his murdered wife Ondine's cooking. And then, Max's personality shifts to the killer's. The whole thing is just painful to see such a great man from the flashback turn into what he is now.
Jack was happy when he found out he had a daughter. Oh, sure, he didn't quite show it, but the man's stern and grizzled after all his battles. He actually smiled for the first time in a while. Then dear Stella was killed accidentally in a police action. Mr. Jack Cayman visits the grave once in a while. Seeing such a behemoth of a man carrying a bouquet of flowers, kneeling before this grave, noticing that he never smiles again... That was Jack's chance at living for something meaningful, gone forever.
There was something painful in his reply when Amalla asked if he was okay when looking at the body bag.
Do I have a choice?
It's just... heavy.
And then after he hears that Stella is dead, he imagines her standing by his side, hugging his mechanical fingers and telling him, "You're the best daddy ever..." Cue the tears.