Kyouko, she becomes a magical girl to help her struggling family after her father was kicked out of the Church. But. when her father finds out about her witchcraft, he freaks the fuck out; killing his entire family before killing himself. This is an extremely traumatic experience for anyone, and most people would not be able to handle it, yet Kyouko did. She didn't kill herself, nor did she let her despair turn her into a witch. She just came out of it with her morals a bit more warped (i.e. Let the familiars kill people so they become witches).
But, in this episode, Kyouko is so attached to Sayaka, a girl she was fighting bitterly with less than a week ago, that even the witch attacks Kyouko, she refuses to fight back for the most part. It's sudden, but I'll buy it.
Then we get a scene where Kyouko and Sayaka's "souls" are mixing...okay. Then, when Kyouko realizes she can't save Sayaka...she decides to blow herself up with Sayaka so she wouldn't have to die alone....WAT?!
You guys want to tell me why the death of one's entire family only scars Kyouko, but Sayaka's "death" pushes her to noble suicide? The only reason I can see her doing that is if she was more injured than the animation let on, but even with that, Kyouko could easily slice Sayaka up when she wasn't even trying to fight her. She chopped off he hand like it was nothing, are you telling me that she was so weakened by Sayaka's last attack that she couldn't even fight anymore?
Seriously, I'm trying to look at it from a reasonable angle (i.e. not using meta reasons like Urobachi wanting another BBAAAAWW fest from fans and confirm Kyouko's true love to shippers), but it's just not making sense.