Everyone's going to tell you that this doesn't match their experiences, because that's what people do in these sorts of threads.
Of course, you could say that about any sort of thread. If I said "X sucks", people who do not believe so are going to tell me that this doesn't match their experiences, because that's what people do in these sorts of threads, and also because it does not match their experiences.
However,
dark, gritty worlds tend to have a lot of "shades of gray" choices. And its easy for those to turn into "gotcha" moments. "Do you save the girl, or do you uphold your oath? Either way its gonna suck!"
is certainly true.
I have known more than one GM who has mistaken "Damned if you do/damned if you don't" as being "grim 'n' gritty". IMHO, a world is gritty if there are real villians, if the choices you make have believeable consequences, and the backdrop includes grey moral areas.
Grey moral areas do not have to be, and should actually seldom be, real gotchas. IMHO, real life is gritty, and we make greyish choices all the time. Sometimes they come back to bite us, but not nearly so often as to paralyze us from making any choices at all.
Some types of choices -- trusting a potential patron, helping an NPC, being decent to other people, parlaying with intelligent creatures, leaving your backyard, choosing what to do -- have to be mostly safe to make, or players will not want to make any choices at all.
"Should we kill the baby orcs or allow them to grow up?" isn't really a choice if the same anvil falls no matter what you do. It is a real choice, though, if you can reasonably guess the consequences of either, and especially if you can take steps to mitigate against the most obvious negative consequences of the choice you make.
This isn't to say that these games automatically suck. But its not hard for them to suck.
Universally true, regardless of whether the game is dark or rainbow-flavoured, what system, what edition, whatever.

It is easier to set up a game that sucks than one that does not. You simply need to lead with your ego.....from either side of the table!
RC