Possibly, but he only began remembering most of his exceptionally long life relatively recently. Not to mention that he hangs out with the X-Men, a group of people who have been shafted so often that the smell of coffee in the morning probably reminds each of them of at least two occasions where a loved one died horribly, so it's not like his miserable life is that unique. It seems like he must have learned to cope at some point.