The eyecatcher from Episode 10 shows a picture of Hayate with the Wolkenritter who have just been absorbed into the Book of Darkness, and one of the deceased Clyde Harlaown with Lindy and a young Chrono, while appropriately sad music plays in the background.
Fate's time in the Book Of Darkness' dream world in Episode 11. She knows it's all just a dream, but when it hits home that, in this world, she is truly loved by her mother Precia and has Alicia as the sweet older sister she never knew, she breaks down in tears. And then later, as she prepares to leave the dream-world to help save the day, she and Alicia share a heart-wrenching goodbye, Fate crying and apologizing as Alicia calmly fades away into light in her arms, her last words being of love to her sister.
Alicia: "It's all right. I'm your big sister, after all. Your strong and gentle friends are waiting for you, right? Then, take care... Fate... I wish... that we could've been like this in reality, too."
The movie version drives home just how much this is affecting Fate. In the original TV version, when she realizes this is the world she always wanted, she starts quietly crying and sniffling. In the film, once it sinks in she's inconsolably bawling her eyes out.
Don't forget the eyecatch in Episode 11: Fate and Alicia asleep. Cute and sad.
How does she instantly know that it's all just a dream? This reality is too good for her.
Reinforce sacrificing herself to break the Vicious Cycle in the last episode.
As well as Hayate unexpectedly turning up and desperately trying to stop her.
A's manga, Chapter 6. Hayate starts crying after remembering Reinforce, then tries to hold back the tears, calling herself a crybaby. Nanoha and Fate, in perfect unison, stand up and hug her from both sides, telling her that she doesn't have to pretend to be strong in this case.
The scene from the end of Episode 3, where Bardiche and Raising Heart are throwing up error messages to the people trying to fix them, telling them they don't have the right parts. The missing parts they are referring to are named CVK-792, or the Belka Cartridge System that their enemies are using, which are incredibly dangerous in the first place, but are more so for devices that have not been designed with that system in mind. The episode ends with a rather tense and melancholy BGM, with the word PLEASE written across the center of the screen in large print in the devices distinctive rune-script.