On the one hand, it's a little wild to come across a Kierkegaard reference in a Madoka doujinshi. On the other hand, it makes nothing but sense.
(The title, The Sickness Unto Death, is also the title of a book by Søren Kierkegaard; it's a work of 19th century Christian philosophy, so it's decidedly heavy reading, but the "sickness unto death" of the title is despair — specifically despair considered as a rejection of love and the Infinite.)