Unfortunately, dark fantasy is one of those sub-genres that has to be approached carefully or it can go horribly wrong. Due to my reverence for the sub-genre and my disdain for "grimdark" games/stories, I thought talk the important elements of any good dark fantasy story and how one should handle them at the table.
The mortality presented within a dark fantasy game should never be presented clearly as black or white, but a shade of gray. While some shades will be lighter and others will be darker, they still possess an element of gray. Characters with noble intentions might utilized questionable tactics, while characters performing seemingly noble deeps my have not-so-noble motives. People are complex creatures and you should try to present them as such.
Actions Have Consequences
Almost every action a character makes should have an obvious consequence. Whether that consequence is a positive or negative one depends on the nature of the action and the factors related to it. While the name "dark fantasy" might lead you to believe the majority of the consequences should be negative and lead to grim situations, that doesn't have to be the case. Just try and go with the most fitting consequence for the action. If the most fitting consequence would be a positive one, then make it a positive one. Also, remember that consequences can both positive and negative elements.
Presence of Failure
No one should have plot immunity in a dark fantasy game. If a player tries to due something and they fail, let them fail. However, don't be overtly harsh with their failures because if you beat them over the head with it, they will most likely not want to play and you'll end up without a group. Make sure the chance of failure is present, but its not an oppressive shadow hanging over the game.
Presence of Hope
In my opinion, the presence of hope is the most important element of any good dark fantasy game/story. Even though the world is a gritty place and life is hard, there should still be at least a glimmer of hope for the players to latch onto, holding up a candle to fight off the darkness surrounding them. Without hope, there is really no reason why you'd want to fight the darkness or do your best to resist it. Hope help give things a point.