The reason she is sad in the picture; it's because of her friends: Ven and Terra. She thinks they will never return to her and she'll never see them again, ever. She also feels bad about not being able to be there for them more or being able to help keep them safe. But still it's not her job to protect them all by herself or more likely to say she wasn't the only one who was suppose to help keep them safe. They needed to work more as a team; instead of by themselves. For example: I am playing the game and I fought in many of the battles that they were in together and they always fight alone; without any interaction from the other. Unlike Mickey and the other Disney characters, they have more togetherness in battle with the character you choose to play as in the game. It's very intresting.

Why is she so sad...