Why do we need to develop a healthy relationship to sadness?

Because we don't have one, as a rule. The consequences of not having a healthy relationship to sadness is that we must do all sorts of compulsive, compliance or attempting to control the universe externally, rather than simply be sad about that which is sad, which mostly includes all the things in the universe that we can't control. The additional problem is that even if we could control the universe, we would still need to be able to feel comfortable about being sad until we get it under control. This is not a great bet, however the mechanics is a good idea in early childhood (completely dependent stage) and not at all necessary as an adult with adult ability to be conceptual and resourceful.

By resourcefulness I mean the ability to enact fight or flight as an adult. This is not a good idea as a child when there is nowhere else to live realistically or perceptually. However, it is very useful, and essential for well being, to have the ability to set and enforce personal boundaries. The inability to do so is another major issue of our times, which is the major cause of many primary or parent/child relationship breakdowns.