I didn't find that depressing because I didn't get the sense that the non-Elven characters derived much benefit from that magic in their daily lives and they were going to go on living their lives as before, just without Sauron and a war to worry about. I also can't really empathize with a world losing magic when I've never lived in a world that was magical in that way, and I still get along okay in my non-magic world.