I suppose its due to the fact that all the other endings are happy - except ending #6 >.>
I dont really find it all that upsetting, but if you put yourself in Urotsuki's position suddenly 'Waking' into an empty future would be pretty upsetting, and that floating ghost Uro on the steps probably doesn't indicate she would be too happy during the events of this ending.
The thing I DO find a bit saddening about the ending is the sleeping in the bed at the end - I see it as if Urotsuki is confused after sleeping so much and ending up in such surreal places that she thought the only way to escape was to try to sleep again, and the glitchy old film reel-style credits sort of reflect confusion in a way - Uro isn't quite together and neither are the credits
Or wahey, maybe I'm overthinking it, if you ask me Ending 6# it just as saddening as it is creepy - she really DOES lose herself to her dreams