The ending of the first route is downright depressing. Nero and Hakuno defeated Sephyr but Hakuno's "Body" was killed in the process, leaving them in what's essentially a coma. Nero placed them in her throneroom, which looks like it's dying around them, and she's sitting at Hakuno's feet, holding their hands and practically begging them to wake up.
To make things even more sad, her own route line in the end goes completely dark even though the light still travels upwards. Nero not only has developed her personality since Fate/Extra but her feelings towards Hakuno have also become nearly connected entirely. Up until the final battle, Hakuno was always by her side and comforted her now they are seemingly 'dead' and Nero is suffering from her biggest depression over what appears to be the most tragic loss that she has to cope with in her entire life. While it's not entirely sad since they wake up much to Nero's relief, the fact that they nearly died entirely makes their faction's victory bittersweet at best as there were some bitter side effects.
The ending of Altera's route isn't much better as you wind up killing two of your main Servants that actually were Hakuno's faithful followers respectfully. Both times Body Hakuno felt horribly upset at witnessing each loss they see. From Tamamo's heartbreaking defeat to Nero's defiant final stand, Hakuno can only hopelessly watch as they meet their ends. Then Body Hakuno is forced to watch their faithful Servant Altera fade away in the end which adds to the sorrow. Somewhat heartwarming in a way as this further convinces them to find a way to avoid this ending in other possible timelines even if it means dying as a result.
"Body" Hakuno telling Nero they don't know who she is. Nero isn't just upset about this, she's deeply hurt.
Not to say the fate of Body Hakuno in each route and Altera in the first three aren't as sad. Body Hakuno fades away the same way in the first two paths most likely as a sign that they will always 'chase' after Altera and refuses to leave her. In Altera's route, they died sending their memories to a past parallel timeline that Archimedes fled to in order to prevent what happened here from taking place over there. This triggers a sad fate for the Body Hakuno in the True End route. Because using the Regalia caused the Moon Cell to record this Body Hakuno's death at this set point in time, it affects every single Body Hakuno in every timeline regardless. In the True Route this stings since while this Body Hakuno isn't technically the same as the one who sent the memories, it's still Body Hakuno and therefore they'll die when the time comes. The Altera of the True End didn't know this and when she sees her beloved Master start to die, she's completely destroyed inside. All her hopes and dreams are completely crushed, Nero likewise is also deeply upset and hurt since she didn't know this would happen and this isn't the ending that she wanted either. One could only guess that both the Merged Hakuno and Body Hakuno of this timeline struggle to keep a calm face despite the amount of pain their Servants are suffering from. Likewise Altera's fate in the first two paths are the same, she's destroyed for real once Sephyr who is her mainframe is gone (due to Titan Altera who is the actual mainframe becoming Sephyr). In her own route, she gives one very tearjerking farewell speech to Body Hakuno and wants them to smile and continue on their own path even though her own has ended now that her dream is over.
While it's also heartwarming, Gawain's Side Story is also very painful, especially when you consider that he sees himself as a Failure Knight. He failed to save his first King (Artoria) in the past as well as failing to save his kingdom in general. Then he fails to save Leo (as in preventing his death), his second King but manages to stay true to his promise of serving his King without question. In this game, his quotes when your faction is struggling in battle really show how much he wants to avoid seeing those he cares for struggle for their lives. He goes from requesting to being at his struggling allies sides to outright blaming himself for their defeat if you fail to save the struggling sector from being taken over. The only heartwarming part comes from Artoria herself telling Gawain that he is her 'true pride and joy' of her life meaning that she never will blame him for his failures. This also leads to another tearjerking scene below...
In Altera's route, you kill at least three enemy Servants. You kill Tamamo, Nero and Gawain. The last one is hard to take note of but it's there if you pay attention. In the stage where Gawain is the Boss Servant, when you complete the Stage, he is seen on the ground briefly glowing then as the camera focuses on Altera, you hear the same sound that only is heard when a Servant is killed for real. Gawain is now dead. This is another possible reason for why Artoria is out to stop Altera's faction if you encounter Artoria as Altera, she (Artoria) doesn't want to see another one of her beloved followers and close friends perish again. This is quite sad if you remember how tragic both of their individual pasts are.
In the True End route, this applies to Merged Hakuno only. When Saber Venus severs Altera's connection to Velber, it also severs the mana needed for Altera to live. This results in Altera's existence to end (but as Nero reveals shortly afterwards, this isn't permanent). If it hadn't been for Nero pointing out what she did while as Saber Venus, one would truly believe that Altera was gone for real in this timeline. This would mean that for all the effort and losses that the combined armies of Nero and Tamamo had to go through, the result is a failure. With this it isn't hard to see why Merged Hakuno is deeply sad at seeing the apparent fate of Titan Altera.
Nameless Side Story explains quite a bit on why he's somewhat of a quiet guy. He explains to Archimedes that he (Nameless) came from a timeline where his only ending was a 'dead' end. By this it meant that no matter what option he and his Master took, it would end the same no matter what. His Master was an alternate Female Hakuno who apparently wasn't able to supply Nameless with enough mana to sustain him yet he remained by her side until the bitter end just to give her a 'happy' ending. It's possible to make connections between F/SN EMIYA and Fate/Extra Archer with this: Both lost an important figure that made them happy (EMIYA lost Illya as Shirou which was a huge blow to his pride and Nameless as a Servant lost Female Hakuno who he apparently did care for if his final actions prove) and finally both become Guardians (EMIYA to Alaya and Nameless to Moon Cell) in order to hopefully prevent the same losses but in the end suffer a tragic death. By having the Player Hakuno being Female, one could give Nameless a hard time as both you and his former Master would look nearly identical and therefore causing him to remember those painful memories. Ouch...
Worse yet, according to Nameless as he speaks to Archimedes, in his timeline he lost to Altera and only thanks to some kind of error his death was changed to being sent over to this timeline instead. This would imply that both he and his former Master died at the hands of that timeline's Altera after the two of them were already weakened and only Nameless was given another chance to live while his former Master perished. Talk about another round of Survivor's Guilt...
At the end of Archimedes Side Story, we see him ambush and forcibly corrupt Elizabeth to his side. Base-Breaking Character though she is, her painful screams as she becomes an agent of Velber and her tearfully BEGGING for Hakuno to help her DO NOT help, nor does Archimedes False Reassurance. However you may feel about her, she didnt deserve to be abused like that.
In addition, her initial decision to work with Tamamo is fueled by a genuine, if ineffectual desire to atone for her crimes, as well as genuine fondness for Hakuno (though this is twisted by her own disturbing ideology. With that in mind, its genuinely saddening to see Tamamoshocking her as punishment multiple times, ultimately leading to her siding with Archimedes in the Orchid Words arc. Its sad to see her throw away her chance at redemption