When we're sad, we start thinking that nobody understands us. At such times, sad music actually resonates so much with us, it feels like someone somewhere understands us.
But it does very little to improve our mood or situation. The better thing to do is to listen to peppy music when you are sad, because there is a slight chance that it'll actually cheer you up just a bit.
I agree it's kinda depressing but not in a suicidal way. I find Lana's songs inspiring and satisfying despite how sad they appear to be. Video games is a melancholic song but it gives some sense of closure i guess, so it's not depressing in the bad kind of way. But that's just my opinion, i've heard people say that listening to Lana's songs made them constantly depressed and helpless i don't get it but if that's the case with you then maybe you should listen to more cheerful songs?