I take your point, but I think the same point can be made the same way in the other direction. I don't know of any born again Christians or conversions to any religion that feel as though they are worse off now. It is important to point out that you can be an atheist and still have a meaningful life full of mystery and complexity, because that is often an unfounded criticism. That, however, does seem to be the default mental picture no matter what you believe, and there is no 'high ground' to be had on the mystery or greatness of life...except perhaps against the religions that deny life's importance.
I guess in conclusion the state of mind after any kind of conversion is never anger or sad, be it atheism or anything else. The same way that it would seem that rich people should be happier, but that isn't the case either.