Honeslty, it's all matter of tastes I guess. For example maybe after experiencing a "sad" ending in a game/movie, you can realize how great/happy your life is (so it remain "positive").
But it's like any "taste", hard to say... Why I prefer black chocolate to white one ? I just prefer black chocolate...
After, the game is not a full package of "sadness"... There are bunch of awesome/happy/great moments, maybe more than sad ones
But I'm aware that a "dying character" is just a no go for some players... (for me, not worse than Alduin who is about destroying the world or Reapers who are about destroying all life in the Galaxy... Urgence still urgence, no matter and studios use that to "push" player to move on in the game).
It's like bugs, bugs never bother me as long as the game is good. For others, it's just impossible to ignore.
Edit : So to take your example of horror film, Cyberpunk (from Mike P.) with an happy ending in which the hero save the world and everyone is happy, would be like an Alien movie that would not be (a bit) scary... odd