What is upsetting varies between people. I am sure that for just about every cutscene in the game you can find someone who was upset by it for some reason.
Trigger warnings are just about never a good solution - you will have to add warnings for just about everything, or you will miss something.

Dark themes and ugly scenes are spread all over the game. Eorzea is not a nice place - it is a very nasty place in a great many ways.

Just assume there is a warning for the whole game: "Some content may be upsetting to some people."