Picture yourself crying at the gaming table. Is that a good image or a bad one? How about looking over at another player or the Storyteller and seeing tears in their eyes? Do you feel good or bad? This isn't a moral judgement. It's just about the issue of comfort.
Maybe you're the kind of person who loves crying in a good movie. Maybe not. But even if you are, there's something that touches a raw nerve when the sad situation is happening to your character. A character you are controlling. A character whose situation you are partially at fault for.
If something happens to a beloved NPC or to a cause your character has devoted their life to, it can leave your character (and perhaps you as well) questioning what you could have done to prevent it. It can raise the specter of old fears involving powerlessness, mortality and a fear of loss.
It can be cathartic, sure, but it can also cut too close to the bone. After all, this may be happening in an imaginary world to an imaginary figment of yourself but it is still, in a crazy kind of way, happening to you in a way that wouldn't be the case if you were passively watching a movie.
Now sadness is memorable. Sadness makes relief all the more palpable when the dreaded event isn't as severe as you believe. It can raise great big feelings of joy to find out that your character's child actually survived that housefire - at least if you are really attached to the characters.
But it always, always raises the sense of vulnerability.
And yes, vulnerability is a good path to fear when you're in a horror game but this is the kind of vulnerability that you have to face in your daily life. Monsters hunting you, even human ones, are a lot harder to conceive than losing a loved one to cancer.
So what do you do?
What should you do?
Firstly, figure out how far down the rabbit hole you're willing to go. I, personally, love touching on grief in roleplaying games. I cried several times during a relatively brief Geist campaign because ghost stories always touch a raw nerve with me. And I loved it. It was a solo game, though, so I didn't need to run the gauntlet of compassionate friends trying to make sure I was okay but since I cried over a dead brother in a LARP game I'm sure I'd be okay with that as well.
Not everyone else is. Some people want, need, that distance both in themselves and their friends. They don't come to a roleplaying game to cry. Such people may be okay with you revelling in that sadness if you show that in some perverse way the sadness makes you happy but be sure to let them know that it does, that this is what you want, and that you find it cathartic. Break character to reassure them, at the very least, because they might not enjoy watching your heart break. It might break theirs as well.
And bear in mind that this is one of the reasons why players may throw their characters into the lion's maw with a mixture of contrariness and coldness. Why players may attack innocents and throw punches without first thinking about what they're doing. The more they play it like a game, the more they act silly with it, the less they will have to care if someone in the game gets hurt. The less guilt and sorrow and grief they risk feeling.
Because let's face it, it's a rare person who never has to risk feeling sad in a movie.