Not because people die at the end makes the finale depressing --
In Les Miserables, almost everyone dies at the end - but I never felt depressed in all the times I have seen it. In a way, it is uplifting because it tells a very human story of triumphs and tragedies.
The Beautiful Game ( Hey, congrats to Italy

) is the saddest show I have ever seen - very sad ending - but there is hope also personified ( by his son learning how to play the beautiful game)
Miss Saigon ended tragically, but it was a show of a mother's love which it depicted at the end.
Passion - that was rather sad, too -- Fosca died and Giorgio became mentally ill ( although there was a glimmer of hope that he would come out of it eventually).
If you attended the TALE of SWEENEY TODD -- that was pretty depressing, too...but you forget that because the story-telling was excellent, if quite dark.