Okay, let me tell you how I felt more pain and anguish here than any other scene in Thor: The Dark World. We know from the very beginning of Thor that Heimdall is capable of seeing things that no one can see. All his life, he was the one who made sure everything was safe and good in Asgard. His life is basically him living and breathing the responsibility to protect the kingdom. So, when he faced an enemy he could not see, he saw himself as failure because he can’t protect the place he loved most. He felt helpless. And to add insult to injury, he didn’t even need to be at the bifrost anymore because Odin had closed it.
I know lots of people may argue that Loki being stuck in the jail cell when Frigga’s funeral happened is the saddest part but for me, I haven’t see their relationship fully develop. It was more of a ‘I’m your mother and I love you but I’m going to go now’ kind of thing. I felt the writers were trying to force Frigga’s love for Loki on us in The Dark World in the beginning just so we maybe just maybe feel something when she died and Loki couldn’t be there.