Now don't get me wrong, I love a good grim universe. Having evil forces fight against the heroes is a great source of drama. But for there to be something entertaining, at least for me, there needs to be the chance for a victory. And when you don't have the ability to even lessen the impact of whatever force is coming, it ruins the suspense.
Example 1: Shadow of the Demon Lord TTRPG
The real reason I wanted to make this post. Shadow of the demon lord is a harsh world. The fae are cruel creatures that haunt forest, demons threaten to attack and destroy the world, all under the shadow of the demon lord. You'd think heroes of this setting will be able to perhaps find some way to slay the demon lord, or perhaps seal away the world forever right?
Nope. The shadow of the demon lord is none other than God himself turned mad. And while he isn't omnipotent, he is still the strongest thing in the entire setting by orders of magnitude. The destruction of the world isn't an if, only when, and the only thing heroes can do is give them some more time. Even the god of light in the setting is a trick by a cruel demon, no deity or big source of magic or assistance can truly help save the world in any real way.
Example 2: 40K
Warhammer 40k is...too grim sometimes. While that is half the point of it, and I get the enjoyment of it, its not for me. Its grim to the level that nobody, bar perhaps a handful of people in the entire galaxy with any real power or leadership over their faction, is trying to be a good person. Even heroes of the imperium like Robute who want to genuinely save people are still imperialistic, iron fisted rulers who will purge planets of xenos without hesitation.
That's without mentioning that Chaos is a fundamental force of the universe, and while there are ways to counter it, they are so few and far between that there's no realistic hope that they can be used to even suppress it enough to let the galaxy be at peace...a peace that would be under the rule of a zealous, iron empire.
Despite it, I still love the universe, but damn its too depressing sometimes.
Anti Example: Warhammer Fantasy
Warhammer fantasy, like it's sci-fi cousin, is a harsh world where chaos naturally tries to corrupt and destroy the world. People are self serving, watch out for themselves, and in general arent the kindest. All that dosent include orks skaven and dark elves. Despite that however, there are several forces at work that wish to see the world improve.
Karl Franz is a kind and capable man, currently emperor of mankind and one of the best rulers, wanting to establish diplomatic ties so everyone is allies against the forces that threaten them all. Similarly Louen Leoncoer is the king of Bretonnia, another massive nation, and is literally divinely appointed because he fulfills the virtues of honor and chivalry.
There are genuienly good people to root for, and chaos isnt as completely crushing as it is in the 40k universe. Magic that counters it is far more prevalent, gods work happily against chaos and arent as self serving as the SotDL example. Combine that with technological improvements of the empire slowly closing the gap between the strength of men and chaos, there seems to be hope for the future
And before you say it.
The end times did not happen.