Perhaps to emphasize that it's very common / idiomatic to end with "af det"?
This is a hard one.
Dead objects can be "trist" like in "trist bog" (sad book). Only living things can be "ked"
If someone is crying because og pain. You can only use "ked af det"
Literally 'sad of it' but the majority of the time, there's no 'it' ! So it means 'sad'.
Sometimes, the 'it' comes out of context and the sentence really makes sense. You can also replace 'det' by what makes it sad or not.
Jeg er ked af du har ondt ( I am sorry/sad you have pain). Not sure of the grammatic.
That can be a valid translation, but more often we would use "oprevet" or "rystet" in Danish.
Ked af det says nothing about being disappointed or worried which upset might do.
Would this be a correct translation, too: "Are they sorry?" If yes, also in a context where it means they would say undskyld
Yes, and you can't say Er de undskyld?
Undskyld is used as an expression/apology, like "Sorry, we don't have that in stock". (Note that it can also mean "excuse me").
Ked af det is more of a modifier/adjective describing how somebody feels. For example, "I am sorry I ate the lamp" (Jeg er ked af det at jeg spiste lampen).