I think people go into Madoka Magica nowadays both expecting the tonal change and a moe cryfest. That's not what the show is about whatsoever. That's not what makes the show powerful. It is a serious decon-recon of magical girl/moe tropes while still telling a damn good (and yes, dramatic/tragic/bittersweet) story. The important part is that it is much deeper than that.
While one gets whatever they want out of a piece of media, Madoka Magica has quite a few layers of spiritual metaphor and allegory to it. The progression of the character of Madoka is an allegory of
Buddha while at the very end being a blatant metaphor for Jesus Christ. However, the post-series reaction emphasizes the importance of spirituality in one's life, the idea that in order to overcome adversity, even during the most dark and troubling times, one must have faith in
something, whether that is oneself or a higher power. It's a tale of caution and finding something to believe in.
As far as the 'depressing' elements of the show: watch yet-another-manipulative-moe-drama if you want that. No, Madoka is not as 'depressing' as shows like Angel Beats! or Clannad, but it's not trying to gun for your heart intentionally. Whatever impact Madoka has is there to drive its themes across, coming from a more genuine place.
Finally, character deaths were part of the multiple deconstruction elements going on. Think about everything in the grand scheme of things.
tl;dr: Focus on the big picture. Focusing on whether or not it's 'depressing' only clouds the depths of a work of art.
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EDIT: Also, Tokyo Magnitude 8.0 is easily the most emotionally evocative drama I've ever watched.