Well, although he didn't mean for Shirou to take it as such, that is what Shirou saw. Shirou survived the great fire where nobody else did. Because he was the sole survivor, he doesn't deserve to live happily because so many others died where he lived. He was saved by Kiritsugu, who in turn was saved by Shirou. Kiritsugu in his mind saw the destruction of the city as his fault and the deaths of all the people as his doing. The fact that Shirou survived meant something to Kiritsugu and saved him from the grief he felt.
Shirou denied himself his own existence because of surviving the fire and looked up to Kiritsugu as a hero, a model to live by, someone who saves others when salvation is impossible. Because of this, Shirou decides to become a hero, someone who saves others at the expense of ones own self, if need be. Kiritsugu's dying message to be a hero in his place became a curse on Shirou. His role model placed all responsibility for achieving his dream of being a hero, of saving people against the impossible, upon Shirou. Shirou, living a self-denied existence takes the dream and chooses to live his life on this ideal, to become a hero, if he can make Kiritsugu's dream a reality.
Of course, Kiritsugu could never have intended for Shirou to live his life as such. It was a selfish wish of Kiritsugu's, to die knowing his adopted son, Shirou, believed in his dream as he did. He didn't plan for Shirou to adopt his entire life around that dream.
Again, Shirou lived his entire life this way. He knew no other way of living, it is what pushed him through life day after day. He studied magic although he risked his life every time during his training. He never saw learning magic as fun, only that if he knew magic, he could one day use his abilities to save someone else. He couldn't cry at Kiritsugu's funeral because Kiritsugu's life and ideal were now a part of Shirou and his life itself.
This is probably the biggest reason why I cannot accept the Heavens Feel route. Shirou throws all this away for Sakura. He put his life on the line every night with magic to save others, he denied himself fun and enjoyment in life because he didn't deserve such a thing, he would not allow himself to cry for Kiritsugu because of this ideal. There is no way after living his entire life for 10-years that way could he just throw it all away for the sake of one person. I can see him saying he will save Sakura if she is the only one in danger, but trading the life of the entire city for Sakura's salvation I cannot believe.
Anyway, the ero scenes of HF really distracted from the plot. To me it feels like these have little to no meaning in the story besides giving Sakura an ero scene. There was meaning to Saber and Rin's but it was clear really fast that Sakura wasn't really getting better despite what she told Shirou at first and afterwards, the rest of the ero scenes were unnecessary.
Shirou living on as a doll...not too much about dolls is really explained in Kara no Kyoukai actually. Not that it really matters, however. It just means that Shirou died and his soul was put into a doll so he could still live. Sure living an everyday life may be happier for him, but that required his entire personality to be re-written since he denies himself happiness because of the fire. In Fate, Shirou still has the fire haunting him and he is probably going to live a miserable life because he has no support and his one love, Saber, left him so she could go die. In UBW, his future is entrusted to Rin to find a way for Shirou to live a normal life while accepting the past. In HF, wtf happened in the past? lolwut?
While Kiritsugu and Archer both lived rather sad lives, I'd say the most unfortunate would be Avenger. If you play through Fate/Hollow, you'll learn the circumstances of Avenger. He's actually a really nice guy.