It's true, depression and melodrama are common, but bear in mind that very happy endings are also pretty common. It's like a switch instead of a dial. You either get full-on depressing, bittersweet, or happy, and there are only a small handful of examples in between.
It might also appear that way simply because a lot of VNs have choices that lead to "bad" endings, which may not be bad but may be more of a downer than the "right" ones. Relatively few (but certainly not no) VNs have all endings roughly the same in tone.
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