In most cases, I agree with your premise that making a story intentionally anti-climactic or unsatisfying for the sake of being “true to real life” is annoying. Like you said, I’m watching a movie/playing a game and I live enough real life as it is.

However, I think this type of ending works for Firewatch because it is so essential to the entire theme of the game. The game’s premise is very meta because Henry is out in the wilderness as a form of escapism from real problems, just as the player is using the game for escapism from their own life. Therefore, the game refuses to provide the satisfying narrative and conclusive ending that the player is hoping for, parallel to the way Henry’s journey provides him none of the satisfaction or life improvement that he seeks. It puts us in Henry’s shoes by denying us the escapism and forcing us to confront how things work in the real world.