Hanabi visiting the grave of Philippe de Maleblanche and almost committing suicide by leaping into the waters. The scene is enough to bring you tears when you realize Philippe actually drowned when the ship sank on their wedding day. Then you learn that the couple really did love each other. What makes it even more harsher is that in the prequel novel, the sinking was actually caused by a British missile experiment, which failed.
Lobelia's past is tragic. Since her Romanian mother was of Romani ancestry, Lobelia and her family were persecuted. Eventually, she lost her parents and lived her life as a gypsy soon after. No wonder she became an infamous criminal throughout Paris.
Coquelicot's past. She was orphaned years before she came to Paris as a member of the Cirque de Europe. Denicourt, the circus' ringmaster, also abused her and gave her meager meals. Since then, she has some serious abandonment issues.
The second half of Episode 8. Erica overhears Leno asking Ogami to tell her to leave the convent, suffers a Heroic BSoD, and she runs away from Chattes Noire, believing herself to be worthless to the Paris Combat Revue. The Gray Rain of Depression really makes this section a whole lot sadder, as each member of the combat revue scrambles to find Erica.
After the battle with Duke Calmar, the devastation is terrible. Buildings have been significantly damaged and the Eiffel Tower is destroyed.
Lobelia's ending where she turns herself into the Paris Police Prefecture, much to the dismay of Ogami. It's heartbreaking since they bonded over the course of the game.
The farewell at the train station. The girls try to catch the train Ogami is leaving on, but by the time it leaves the station, it's too late and everyone is calling out Ogami's name. Then, Ogami reads a letter written by one of the girls he romanced and as the ending theme plays, Ogami reminiscences about his time in Paris. Still, at least we can take solace in that the Paris Combat Revue returns to help Ogami in Sakura Wars 4: Fall in Love, Maidens.