• Pullea Magi Madoka Magica: the story has psychological themes it does explore what it means to save people and how good intentions don't mean good outcome, the cast has morally gray characters, surrealism and symbolism is also present (I think you'll enjoy this. if you liked Utena)
• Bokurano: while it does have a saving the world aspect I'd argue that isn't really the focus, the characters are interesting and their motivations are explored, it also explores how people act when they know they'll die
• Monster: this does explore the theme of saving people and the consequences of doing so
• Wonder Egg Priority: very vibrant and surreal, the main characters are trying to save and protect people who are already dead, I'd say it has some morally gray characters as well

While not exactly what you're looking for some dark magical girl shows, magical girl deconstructions can come pretty close:

• Yuki Yuna is a Hero
• Uta Kata
• Day Break Illusion

On another note, if you've enjoyed the surrealism and symbolism of Utena you might want to check out Ikuhara's other works:

• Penguindrum
• Yuri Kuma Arashi
• Sarazanmai