Steins;Gate is not really sad, it's a time-travel, thriller plot with slice of life elements but has sad moments.

Danganronpa is not a 'sad existentialist visual novel' it's an over-the-top murder mystery/horror series for the severely neuro-divergent (many visual novels can aptly be described by this).
House in Fata Morgana

Saya no Uta is a grotesque horror VN not necessarily an existential sad one.

Yea I guess you could categorize Katawa Shoujo in that way
Planetarian is a short and sweet one which I like but most studio Key VNs are dripping with a certain melancholic sad existentialism, possibly Kara no Shojo as-well.