You can call it the "Eva syndrome", too. Angst as a requited selling point in an anime.
Maybe the problem with Mai Hime is that it started as your average action ecchi comedy, and we were plenty who didn't guess that it would eventually take that kind of drastic turn.
Even if i like angst and tragedy as much as your next fan, I still hope for an interesting ending that would not require the death of most of the cast. ^^
And Shizuru owns everybody else. :p