They know that suffering is not always bad; they “know that all things [even suffering!] work for good for those who love God, who are called according to his purpose.” (Romans 8:28) Suffering can bring us closer to God, and union with Him is our ultimate purpose.
They have read the end of the story. They understand the possibility of repentance and the depth of God’s mercy. They know that in the end Christ triumphs over evil.
The joy of the saints in heaven is in giving honor and glory to God eternally. While they would like to see everyone go to heaven, they know that the presence of an unrepentant sinner in heaven would not give honor and glory to God. And they realize that those who are taking the road to hell do it by free choice, and a loving God does not violate our freedom.
Being shielded from sadness is not the same as being shielded from knowledge of the truth. The saints hear our prayers to the extent that God permits them to hear us.