Yup, that is one of the saddest endings i ever came across.
As for movies: Pier Paolo Pasolini's Salò o le 120 giornate di Sodoma (Salò or the 120 Days of Sodom) has it all too. From abduction to extreme torture and snuff. Not in a BDSM-setting but in a fascist one.
It's still so controversial that Zurich's police wanted to prohibit a small cinema to show it last year but then gave permission because they had "underestimated the artistic value of the movie". (Zurich is usually rather liberal with such things, which has led to it being one of the hotspots of the homosexual community in Europe)