'Affair' is something that happened/ transpired, is happening, the general state of things, or sometimes it means a person's personal business. 'A sad state of affairs.' 'He needs to get his affairs in order.' A 'sad affair' would describe some event or something that transpired that was sad in nature. An 'affair' can also mean infidelity ( aka cheating), but that's not likely in this case. 'Sorrow filled' means something was sad: an event, a friendship/ relationship, a period of time, an experience, etc. 'You've both had your (fair) share of sadness' just means that both people have experienced sadness, sad events, troubles, etc.

Can you please share the context? These are three different sentences