Or was it mostly "It's this sc##bag's fault that I had to kill everyone in the Sanctuary/ Lucien was killed"?

In any case, I finished Oblivion's DB questline for the first time today, and while Arquen didn't openly acknowledge her mistake I was satisfied when the Night Mother herself called her a "foolish little girl".

Absolutely none. When I first played the game, I had no idea that something like the Dark Brotherhood was in the game. Don't know if I saw that message or not, but when I found it, I basically had to consider it basically my favorite questline in the game(even if one or two quests somewhat bother me).

As for killing the Sanctuary members, most every time I've done it, I probably feel just like what is expected for the questline - meaning that even with the fact that I liked some of the characters and found them interesting, that certainly didn't stop me from violently murdering them, as per the requirement of the quest. Lucien was a bit of a surprise for me, but I really didn't think too much of it. (Save for me now thinking the obivous of the robe you obtain upon finding out about his death, and your rise to speaker, being his...a bit creepy, really.) In truth, even the first time playing it I could see the story trying to suggest that the traitor was Lucien, mostly with the bosmer's comment in Anvil(I forget his name at the moment).

With Mathieu, again, I don't feel any of that. I've actually had times where I'd stare at his corpse after killing him, and verbally or mentally say(pretty much the opinon of my characters, and pretty much mine), that he "barely deserves to have his corpse rot where it lies".

So yes, If I play characters that have the Brotherhood in mind, they are usually insanely loyal to it. Even if it was a genuine mistake that they happened to kill someone to gain enterance into it. With my first character, I think it was killing one of the guards during the Kvatch quests that set it off(not sure if it was the Legion members or one of the other guards, though still a technical mistake). But with the rest, save for my Breton character, Aria(with her it was a mistake that I rolled with), it was all intentional.