For me PS II was definitely a sad game, but it could be argued that it's more of an impersonal, almost cosmic hopelessness than the more usual sadness we deal with in everyday life. Just environmentally I found it very depressing; the world is carefully controlled and delimited, humanity has very little free will, and just by their isolation and desolation locales like Dezo gave me a very disquieting feeling.
I think the game is very much about free will, and so some of the issues it raises are difficult and even uncomfortable. It really does make the case that it's difficult to do what is right and necessary to create a sense of human independence. The protagonists struggle and suffer, and the ending is anything but hopeful, probably the darkest ending in the series, and it shows the cost of self-awareness. Nei in particular illustrates the point very personally. So to me it's a very sad game, just not on an intimate or surface level.