I haven't had the chance to play Dragon Age 2 because I lack a PS3, but I did play Dragon Age: Origins.
By definition fantasy horror/dark fantasy is supposedly comparable to the writings of authors like H.P. Lovecraft. His stories are extremely disturbing or unsettling, not necessarily scary or surprising like horror movies usually are. Dragon Age: Origins certainly had the potential to be a dark fantasy - the threat of the Darkspawn alone and how they come into the world, how they spread, what they do to people, etc, was enough to make me feel unsettled. As you play through the game it doesn't necessarily wane but it definitely doesn't increase as you progress, which in my opinion is how dark fantasy should work. For example, when you go through the quest where the prince of some town [I can't remember, I played this game a while ago] is possessed by a demon of lust, when you actually enter the fade [I think is what they called it, if I remember correctly] I felt more nervous. Having an extra plane of existence you can access by ritual, and the threat of being stuck there, is unsettling. And then when you actually encounter the demon herself, the conversation you have with her, however you decide to go through it, is disturbing on its own. Even if you deny her and defeat her, the threat of the boy remaining un-possessed is not gone. But for the game as a whole, I didn't really get a feeling of urgency to fix the Darkspawn problem.
But the Grey Wardens are supposed to be tragic because of what they do and why, and what happens to them when their time is up. They didn't play it up enough in the Origins game, least wise with your character. I would have liked to have seen some insanity happen from the nightmares, and from the ability to feel the Darkspawn and sometimes hear their voices. Schizophrenia would definitely be a possibility. But seeing as you're playing a game and the creators didn't want the main protagonist killing themselves 3/4ths of the way through, there's really only so far you can go with the Grey Warden's sacrifice when your character becomes one without pissing off your players.