I don't think this is necessarily anybody's fault - certainly not yours. DBT is a method that does not work for all people - after all, no method suits everybody. And yeah, everything I've ever heard about DBT, mostly from people who have been helped by the method, tells me that for me it would only be invalidating and probably aggravate any feelings of sadness or suicidality. So I completely understand where you're coming from.

I agree with licketysplit that it sounds as if you would probably benefit much more from returning to PDT.