Hi! Thanks for your attention to detail!
That window is a hidden lore interaction, not a standard ending (which is why there's no notification). Unfortunately, there's no secret way to save the protagonist from Heizou here—in this scene, it's already too late.
Instead, your choice silently determines Xiao's ultimate fate after the tragedy: whether he lives for revenge or succumbs to his grief. You did everything right, it's just pure angst!
Thanks for playing!