My group played a Midnight campaign for about 8 months with me and another member alternating as DM's. It wasn't the bleakness of the setting that turned us off it, but problems with the crunch. Most of the players thought the setting really limited player options, since there are less classes than regular d&d there are also less possibilities for multi-classing... also nobody really enjoyed the channeler class, they though it was limiting and growed useless as you went up in levels (we reached levels 9-10).
From the DM's perspective it was hard keeping up, both I and the other DM have a job and besides FFG published Midnight adventures we really had a hard time converting adventures to Midnight (its atmosphere is so specific). So in the end we wrote most of our adventures which took way too much time.
To conclude, I like the setting and its atmosphere, and we had a good run, but we probably wont return to it