Read ~Maiorita Tenshi~ if you want some Blue Drop that's less soul-crushingly depressing.
It is depressing, but not soul-depressingly so. Well, the settng is, but the stories themselves are a spot of hope.The characters (like Yui) may not make a difference on the overal millenium-arching plot, but they DO make a difference on the time they do live. And that is enough.