Madotsuki's mother died giving birth to her. (headless pregnant bodies in various areas)

She was a shy girl with no friends but one (Poniko) and who was often bullied at school by a group of girls who always trapped her in enclosed spaces for their fun. (The torningens).

They usually made fun of her. The Poop Hair joke being one of the most common. (It became an effect in Madotsuki's dream) Mado felt alone quite often (The empty wilderness contrasting with the Torningen party)

Madotsuki had little things to comfort herself, especially after Poniko gave up on her and became the worst of her bullies. (Uboa)

The only thing that made Madotsuki happy after that was her piano teacher, which appear in her dreams as Masada. However, he died in a car accident (Corpse-San) as well as many other people.

Poniko's betrayal, the corpses she saw after the accident, and many other things formed a big thing in Madotsuki's dream: The white desert. The area that represents everything she wants to forget about her. Monoko is a girl who died in the accident, whose body was horribly mangled. Monoe is the face of the girl's sister who couldn't believe what was happening. Uboa was Poniko's betrayal (even though they aren't linked directly, it's canon that Uboa is part of the white desert)

After Masada's funeral (Mars-san), Madotsuki locked herself in her house and never ever went out until she found the balcony. I think she got the idea of killing herself because of the Witch event in the mall: Madotsuki could fly freely wherever she felt she could. Until her broom slipped from her hands and she crashed, resulting in her falling from her bed, and waking up, in real life.

Madotsuki killed herself because she though her entire existence up to now has been a nightmare. This is why she jumped.

This game is sad...

Though I mostly stick to the very common theory: Sabi has a deadly disease that affects her both physically and mentally. She became skyzophrenic and her other self is a murderous demon: Rust.

Her mother died giving birth to her, like Mado. Only, it was a symptom of the disease that caused her to pass away.

She spent her childhood in an hospital in which she often played with her friend, Oreko, also deadly ill (though of a different illness, a respiratory one) She always wore some sort of helmet to help her breath, resulting in Sabi joking it was a diving helmet. This was translated in her dream.

The kaibutsu are corpses of teenagers who had her illness she accidentaly saw when she was in her hospital's morgue. It's the fear of what she will become that gave us the kaibutsus of her dreams.

Once she came back to school, bullied because she was different, Sabi's "Rust" often showed up. She never injured anybody gravely, but broke a few people's arms.

The only way Sabi had to control Rust was to stay with the only person she loved: Smile. Until the day he gave up on her. (Corrupted School: When he kills Sabi. he kills her psychologically). Rust goes wild and attack him violentely, leaving him two permanent scars on his face. (Corrupted School: When YOU are the kaibutsu)

Sabi use audio drugs to get to sleep and remain lucid in them.

The gasmask maid is Sabi's nurse who lives with her and is greatly devoted to her.

Unlike Madotsuki, Sabitsuki do leave once in a while. The player can't see it, but she often goes see her doctor. (This is why the blood infusing machines appear in her room at some point of the game)

The Rust chapter of the game happens when Sabi learns she'll die soon.
She allows herself to go in her dreams one more time and see 3 of her most important memories (Smile. The hospital. Oreko) before letting Rust "win" and completely destroy her. (Last dream: When you have to kill a chained Sabitsuki)

The ending scene didn't happen like we think it did. The maid wasn't the one who attacked first. She just defended herself when Rust went berserk.
And that how Sabitsuki died.

I love this game so much... Why does it have to be so depressive

The Gas Mask Maid and Oreko aren't infected, but aren't immune to the disease, hence why they wear the head gear they do. The disease is airborne.

Madotsuki is immune to the disease, but is traumatized by the number of friends and family members that have died to the disease.

Sabitsuki is not immune. She converses with other victims of the disease (ie the Kaibutsu) online, but isn't allowed to leave her room because she'll spread the disease further. The Nurse takes care of Sabitsuki, along with many other patients. At the end of the game, the Nurse has to take Rust down in self defense- Rust's progressed to the extremely violent stage.