And some are expecting him to be fine during the time span of the MCU, where there wasn't too much turn around between having realizing everyone was going (Peggy) and gone to learning your BFF who died is actually alive (and you didn't search for him) and is a brainwashed assassin working for an evil organization you thought you destroyed a long time ago. That's not discounting all the WTFery of CW. He's suicidal and depressed, and some think that he was OTT over Bucky. A remnant of his time, of what he used to be is alive -- of course, he's going to hold onto with all his might and never let go.