if a loved one ends up in hell, wouldn’t that make you sad

This heavily discounts the existence and function of purgatory (the place you sit and wait until your flaws and frailties have eroded away). It also mistakes the ideas of heaven and hell as reward/punishment rather than proximity to God.

In theory, your closeness to others is reflected in your closeness to God. Therefore, you wouldn't lose your loved ones, because their bound to you would bring them closer to God (where you, presumably, are) and keep them from hell. By contrast, if a person you knew did go to hell, it is because they distanced themselves from God (and by extension you). Once you gain the enlightenment of the afterlife, you are able to decouple the mortal craving for companionship from the divine desire for oneness with the Creator. And then you won't feel sad, because you no longer crave that fallen individual's destructive tendencies.

This is all predicated on the notion of a magical divine understanding that only comes to you after your physical body is worm food. So, YMMV. But there's more involved doctrine that covers these kinds of problems.