At the end, honestly, I didn't feel bad for Xion whatsoever. I felt bad for Axel much much more than Roxas. With Roxas, I knew where he ended up and, although I feel bad for him for the shit he goes through, I knew he wouldn't remember any of what happened and thus required no remorse.
Axel, on the other hand, remembers ALL of his time spent with Roxas. He definitely has regrets for not telling Roxas the truth sooner... He definitely feels as though he could have changed the outcome if he had acted differently towards his best friend. Axel is hurting much more than Roxas or Xion at the end of that game. :\ He lost his absolute best friend AND he lost his oldest best friend (Saix), both at about the same time...
That sucks a whole lot more than losing someone you forgot about not too long after losing her, amirite? I found the scene kind of sad, but not sad to the point of being all mopey. I was really down during the scene where Axel opened that letter with the WINNER stick...