In games, since the player is usually involved in the the turn of events, sometimes a bad ending can really be off-putting because of all the work that went into it. But I agree they can be done well, and certainly the bittersweet ones are more memorable. Mafia 2 ending I think I will remember for a while to come, and left a mark on me. RDR ending of course makes you think how come my badass character couldn't pull himself out of that final situation.
I will agree that it can be done well or badly like anything, but I'm not a film/writing critic, so all I can say is as long as it's within context or feels like there's a purpose to it, I can understand. Mafia 2's ending pissed me off, it felt unfair and frustrating and sad, BUT, that's what it was supposed to be I guess. Plus, it was in continuum with the overall message of the game: crime does not pay. You know, you arrive in a new country, start off in the world of petty crime, end up in some trouble, get out, then make it big, live the live, and then everything starts falling aparts, as in everything. So what did you expect in the end, anyways?