TL;DR - The Scions have actually suffered less than most every other person introduced in the story
Thancred the orphan who was taken in by one of the most advanced societies on the planet by one of its smartest, most prolific members raised into adulthood as a street savvy turned book savvy ladies' man? The one who is respecting his adoptive daughter's sacrifice, and will likely see the other again because it's a happy story? I would add that he lost his aetheric adeptness due to Y'shtola, but the story solved that for him with new aethereyte design in Endwalker / by just pretending really hard that it doesn't much impact his combat prowess leaning hard on the, "Thancred is a Bad Ass" line of reasoning.
Y'shtola who was raised by another of one of the most advanced societies brightest intellects, one who she bonded with as a mother and mentor? Who gained a prodigious superpower, natural aether sight, by losing her natural eyesight? Who will likely 100% find a way to get back to Runar?
Urianger was in the Waking Sands. The WoL is the sole witness to Moenbryda's sacrifice. His guilt stems from NOT being there when she went through with it. Those parents embraced him warmly, and bade him to forgive himself. He likely hasn't, but he is on the way to doing as much.
Do all of the Baldesion Arsenal or Choose Krile's way, and Ejika Tsunjika is also a survivor of the order. As is his cousin. She lost her adoptive father and others close to her, once, as a loss unique to her.
Alphinaud and Alisaie left home by choice and engage in war by choice. They are also adults by Sharlayan standards. Not sure where you get that they lost, "many friends." Alphinaud has the loss of some Crystal Braves and the earlier side Scions on his mind, but Alisaie's only really lost Tesleen. They both lost Louisoix, who they seem to love more openly than their own father, but they got time to say a final farewell to him as he imparted some final wisdom to them in The Binding Coil (which is much more than most who lost loved ones at Carteneau ever got).
Tesleen was specifically for Alisaie character development. Not a major character at all, really.
Papalymo chose to sacrifice himself, as did Ysayle. The story flipped from respecting such actions to decrying them.
Compare to G'raha Tia and Estinien...
Estinien lost his whole family to Nidhogg as a child. His mother, father, siblings, grandparents, uncles, aunts, etc. No family for Estinien. Ysayle was growing to be a woman he admired, perhaps it would have lead to a love blossoming in his chest, but she was lost to him, too. He has seen many of his fellow dragoons and Ishgardians struck down during the course of the decades long end of the Dragonsong War. He lost his body and mind to Nidhogg from 3.0 till 3.3 transcending mankind to become a dragon soul hybrid whose thoughts and memories are intertwined with Nidhogg's forever.
G'raha Tia awoke to a future where he'd lost all of the people he'd ever known, save Cid, Nero, and the Ironworks. He then watched them age and die, as he lived on tied to the tower. He was then sent back in time, leaving behind everyone he knew, the Ironworks descendants, to live a hundred more years in a post apocalyptic setting where he raised a Viera as his daughter while shepherding an entire society at the base of the Syrcus Tower. He has seen boat loads of people give their lives defending that society from the Sin Eaters. He lost part of himself by merging with his past self, because while the identities reconciled so that we wouldn't lose the man, it's clear that the memories from Post Apocalypse G'raha supersede and impose upon his existence. Past G'raha hasn't much to add other than his youthful body. He also potentially lost his daughter forever, much in the vein of what you sum up for Thancred, but it's likely that Y'shtola's Runar marriage path will lead them both back to be able to see them.
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Basically, with two or three exceptions, the Scions are pampered protagonists who haven't experienced the suffering the setting portrays for the unimportant masses and antagonists. They have their shares of woes, some more than others, but they basically get the best possible ending they could get in spite of such things.
Compare and contrast with real life suffering, while mildly unfair to a piece of fiction it serves to show the absurdity that these are the folks who will forever, "Defeat Despair."
I've lost a lot of extended family over the years, but last year I lost my mother to pancreatic cancer. I was in the room when she gasped her last breath, and her final words and act in life were to grip my brothers' hands and yell, "Please God, help me!" Her eyes went vacant less than ten minutes later, but everyone was too afraid to call it. The hospice worker we had assisting with her care was forced to call it some half hour later, because the shock of it was far too overwhelming for us, my brothers and fathers and sisters in law.
What followed was the all of us, trying to talk about the good times. The good way she lived, while trying and failing to choke back tears. My brothers and father drank heavily, my oldest brother so heavily that he fell over repeatedly and down the stairs twice. I personally felt as though I'd been struck somehow in the chest by a club, just above the solar plexus, like my chest was going to come apart from an invisible pain. I was too afraid to drink, for fear that I might self-destruct. I still feel the loss of my mom everyday, and I don't think it's ever going away.
The Scions rarely convey that they've felt that type of loss, even if they are of the few who have. It's a hard sell to me to feel like they've walked with despair, as they mostly spurn it at every turn or are shielded from it entirely.



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