There are sad stories like Walter White or Benedict Arnold or King David with Bathsheba where the protagonist makes bad choices. It’s sad to see people make bad choices and then reap the consequences, for themselves or for others. It’s sad even if the consequences never catch up with them.
There are other kinds of sad stories like Elie Wiesel or Randy Pausch or Job from the Bible where the protagonist doesn’t necessarily make any bad decisions, but circumstances still hit them hard, stealing the things they most value.
Sometimes stories contain elements of both, bad decisions and bad circumstances. Most of the time, though, they lean heavily in one direction or the other.
I like sad stories. I gravitate toward them. And I like both kinds, the kind that comes as a result of bad decisions and also the kind that comes as a result of bad circumstances. Those are the kinds of stories I read and appreciate most. Those are the kinds I write.