There's plenty of tragedy in the Arthurian romances. I would say in my experience (which isn't great in terms of romances) the actual subject matter and plot-types are pretty much the same. The romances of course are much longer and are often several stories wound together, whereas by and large ballads are based around a single event with only a few leading characters involved. If they deviate drastically from this we start to get suspicious of how they came into being.