Oh please, Wales is just in a funk because history has shown that he is a both a bad administrator and a poor general. He is just sulking because it got shoved in his face that he is a poor excuse of a prince and he cannot deal with it.
He gave up and became suicidal. He gets zero sympathy from me. And honestly, I wish people would stop romanticizing him - he is simply not worth it.
If anything, I think it is Henrietta who deserves sympathy. She loves Wales so much that she is willing to tolerate all his faults and does everything she can to prevent him from committing suicide. Even if nothing else, that by itself is admirable.
But Henrietta even went one step further and managed to unify her romantic desires with her position as a ruler of another country and came up with a plan that would see both her country and her beloved prosper - a plan that had an excellent chance of working. She could be hardly expected to know that due to plot powers the king of Gallia is omniscient, omnipresent and really behind everything in the first place.
Even now her plan could still be salvaged if please-kill-me Wales didn't majorly fuck it up. At least she could have gotten a new port city for her country out of the whole thing. And Wales certainly had lots of cards to play if only he was willing to fight for his future, rather than giving up.