Naturally Sai would feel bad. The character he built up in 200 episodes was destroyed in a couple of episodes. When Sai started playing the role of RR, the character was not so well etched. He gave his 100% and made us all connect to RR through his dedication.
Even though RR had many faults, there was a basic characteristic in RR.... he valued relationships. The RR that Sai potrayed in the 200 episodes would never have cheated on Pallavi.... not even in his dreams.
Sai was so in character, he was almost literally living and breathing as RR. In many interviews he even mentioned he is 70% RR etc. And Sai seems to be the kind of guy who is honest and loyal. Obviously he would have been shattered when Sicku destroyed RR's moral compass.
Being the professional he is , he is trying to give his best. But you can easily see that his enthusiasm has dimmed.