I felt sad in tSR, yes. But those things had already happened, and the actions of the characters themselves (Rand, in particular) cannot in any way change that.

This was worse. Whether inevitable or not, we see that the sacrifices and pains taken by the characters are not enough to save their own people. Sure, the Dark One is apparently defeated. But when you see the last surviving heir of the Dragon Rebron is shot dead for scavenging food from the refuse bin of a Seanchan army camp, it isn't nice or comfortable. That all this was the fault of their own descendents makes it even worse.

As readers, most people tend to associate with characters enough that they think the characters are going to make a lasting impression on the world. That's what we all want to do anyway.

A cold perspective might tell you that this is almost never the case, but that doesn't mean you don't feel disappointed and sad. For me, anyway, it was seeing that in some ways, what Rand and his friends do is worth nothing more than a blip in the sweep of history is the true reason for sorrow, though logic might dictate that will be the case anyway.