Hot Spring Tour

The ending is truly bittersweet,
with the emphasis on "bitter."

Yeah, I'm pretty sure the point of the story is that there isn't a happy ending for the protagonist until he can bring himself to move on from his girlfriend's death, so there isn't really a happy ending after waking up from the demon's 'dream' and returning to his 'reality'. Looking at it another way, the episode was simply him falling asleep and dreaming, but when he wakes up he is forced to acknowledge his loss once again. Almost a typical story of loss and heartbreak, if you leave aside the erotic aspects.