God, I am so glad the producers decided against following the path you describe above. What you're describing is the "safe" route which, I think, would have made a much less interesting movie. Having all of the characters soaring above it all and seeming to be untouched by the horror of losing half the population of the universe would have been much less interesting.
Showing Thor expressing his guilt and grief by drinking and basically giving up was a masterstroke, as was showing Cap's therapy session, Hawkeye's decent into darkness, etc., is what separates Endgame from other non MCU superhero movies. It is the reason we are here debating story and character rather than Fx and spectacle.
The MCU makes these blockbuster extravaganza's, but they play out like small indie movies with the emphasis always on the human aspect. This would all have been lost if they'd decided that despite all that happened, Thor would remain his invincible, untouchable self, his dignity fully intact.
It was SO much more interesting watching Marvel stay true to itself to the end.