**SPOILERS**
Just sit there and think of everything that happened in the game...
Your relationships with everyone, the scrapbook, the epic hookshot Marin part, the fact that you have to give everyone up to get back to your world, and the fact that, even after everything you've learned that says the Island is a dream, the wind fish being there saying it might not. And going through without dying and seeing that Extra Seagull that is Marin's dream recognised....
It's pretty emotional.
Now go listen to this games Version of Ballad of the wind fish and think about it. and try not to tear up.
*Written after tearing up listening to the song and thinking about all this stuff.*
This definitely makes for one of the most depressing games in the Zelda series, yes.
You know, we need another game like this--a depressing one. It would, in my opinion, give a twist for the tendency for Zelda games to end happily or on a bittersweet note at worst.
When you think about it, LA is as close as any Zelda game has gotten to an "EVERYBODY DIES!!" ending.
^ Unless you count a failed MM cycle. Then everybody literally does die.