1.

Henry and Toppat leader dies. Do not get revenge in real life folks or you'll end up like Henry's fate (toppat leader said "was it worth it?").

2.

Charles dies and his last words were "This was the greatest plan." Low voice.

3.

Choose PBT+CA in CTM. Then get to the final stage. Choose "The Wall" fail. Does Henry and Ellie die from freezing to death?

Which is the most depressing one?

Revenged (Henry dies emotionally)

Valiant Hero (Charles dies with Henry seeing him emotionally)

The Wall Fail (It was emotional when The Wall Warden says, "You two will never see the light of the day!") and with those faces that they make in a freezing ice cell, looks like they are slowly accepting their fate just like when The Toppat leader in Revenged said "was it worth it?".