This is something I have wondered about too, specifically with mainstream religious people. It seems like good news to me when you know that there is a positive afterlife awaiting you, then again it might depend on things like Hell and sins. But the grieving seems like something no one is really ready for and we all react to it differently. I'd say it is natural to feel sad for a loss simply because they are no longer in this world. So its a issue of attachment that can only be dealt with personally and that's tough. I just want to make this distinction between grieving because they are no longer with you, and grieving for them for their sake. ie where they may reside in the beyond. I totally get the first type of grieving, but worrying and grieving for where and what situations the dearly departed are in seems a little nonsensical. Especially if it is assumed that it is a positive view of the afterlife.

Maybe this is where "faith" comes in? Assuming that none of us can be sure of what the afterlife is, if it actually exists, its fair to say that some people can have their belief systems shaken. Things like personal feelings, doubt, and our own humanity can make us question the loss of people and if they are really gone forever. I think it comes down to personal belief systems and grieving for the loss of their presence in the world (the attachment issue) which is what gets to people. Even if its a supposedly happy place where there's no pain and you can reunite with passed on loved ones, their departure from our world isn't enough to make up for that. And again I sympathize with this. But yes, I think it would be reasonable to say that we instinctively go to that "they are in a better place" mindset, since it is assuming they are ascending to a non-corporeal/nonphysical reality. Just something about being freed from our physical bodies automatically makes the afterlife seem like a better place.

Conversely, what if its not a better place? This may sound cold-hearted, but grieving still won't do them any good. In both cases, I think things like prayer, singing, or any type of music-making (classical Requiem pieces come to mind) might be the ways of getting messages over to the other side, but really all bets are off. We've got some info on the afterlife, as given to us through religion and spiritual texts, but it only gives us a fraction of what lies in the beyond.

Also, it could be someone's own fear of death which intensifies their grieving. Morning the loss of a loved one and fearing for your own mortality could make things worse, despite the viewpoint that it is a positive afterlife. I think its hard enough for people to conceptualize physical death, let along going through it. These can be scary thoughts, but for the spiritually/religiously inclined I'd think that these fears would be lessened. Along with atheists too I would suppose.