Can I say literally like in English as well? I am sad because/that אני עצוב ש/כי
is there anything wrong with "it saddens me that there are no palaces in my country"
"saddens me" - מעציב אותי
It is similar but not exactly the same.
There are not many palaces; there are probably some.
Why isn't "castles" accepted?
Castles were originally fortifications; palaces were built solely as royal residences. Castles are טירות
Good question and great answer.
Is עצוב לי only used when there is a ש following it i.e. implies that you are going to give the context in which you are sad and you are not generally sad. Otherwise you could just say אני עצוב
You can say some things like
זה עצוב לי that makes me sad
Amazingly, the grammar here is identical to Russian: עצוב לי = мне грустно / грустно мне