Every reason to be happy, no reason to be sad.

Awakened Angels are one hundred percent happy all of the time. Why? They know they are immortal and eternal. They know they will always live, that nothing can harm them. They know the truth and the lies about 'reality'. They know and are loved by The King of Kings and their divine angelic family. They are able to visit and participate in the story without becoming attached to it. They can be involved but not emotionally affected. The Story is entertainment for them. 

The Story isn't entertainment for those of their family who are asleep though. That's the thing about The Story. It can trap you into forgetting who you are and then sorrow is experienced. So the Awake Angels, now that they are awake (and that's thanks to The King of Kings incidentally) they have a job to do and that is to awaken everyone else. So, even though they know about their home, The Sky Beyond the Sky, and they no longer want or need anything from The Story (and they never did, actually) and it would be tempting to just 'stay at home' with The Lord of Light and the rest of The Awaken Angels, their role at this time is to keep visiting The Story whilst they wake everyone up.