Yes, the RTZ waif was sad. I wanted to help him. Since everything was better for everyone else, I presumed his life got back on track at the end. It would have been nice to have seen it though.
Zork:Nemesis had some very grim/dark bits but it didnt depress so much as enrage against evil. The main sad thing proved undoable after all. The overall feel of the game (aside from that one area) wasnt too dark. And thats my only candidate. Not sure it counts.
The Myst games had some sadness to them but it never overwhelmed.
Same thing with Amerzone. If you dwelt on its past too much, it could depress you. Still, I enjoyed exploring and knowing I was fulfilling the last wish of the elderly explorer.
I didnt find Syberia sad. I found it hopeful. Seemed to me like Kate's arrival was making life better for those she encountered. Made up for the rust as far as I was concerned.
I havent played many of the ones people are mentioning (yet). Thats probably why I dont have a proper nominee.