Just stop here for a while and think about this. Whenever someone died in Merlin’s arms, someone very close to Merlin, Arthur has always been there for him, no matter what. He was always trying to cheer him up - Arthur made Merlin feel better. But when Arthur died in Merlin’s arms, there was no one left who could make Merlin feel loved again. He’s still out there somewhere and has to bare this cross all alone.