First of all I don't get the appeal of a "waifu". Why would you subject yourself to a relationship with a non sentient figment of someone's imagination. It's not a relationship if one half doesn't consent.
But despite that, recognizing there are people that still feel they have a claim to a cartoon pony, I don't see why people would get depressed. The entire story of MLP is fiction. It's all written word and anyone can easily manipulate that written word to reflect their own reality. If someone's "waifu" was married off on the show they can acknowledge that in the show the pony is no longer single but in their life the pony belongs to them.