I'm not sure she looked sad and forlorn....I kind of got the impression she was showing a bit of exhaustion from her own upkeep, so to speak.
Kind of like the necklace afforded her youth and beauty, but took a toll (i.e Frodo and the ring). The price she pays to serve her God. And I don't think
it's gonna have any bearing on how/if Jon is brought back (I think she's gonna resurrect him, but not with the necklace and not by sacrificing herself in the process). Like someone mentioned above, it's just showing another magical 'facet' of her, enforcing
what Davos says about her, something to the effect of 'You haven't seen what I've seen. I've seen what things the red woman can do.'