I think something that is really holding back your ability to enjoy certain series, not the least of which this, is that you sometimes only view events through a singular perspective most of the time: Your self insert perspective combined with your life's worth of experience and all the time in the world to consider your options from the safety of your chair (like the rest of us). Denji had a different upbringing than most people. He had a deadbeat father who was in debt to the yakuza and died very likely without introducing Denji to some of the social services or government agencies that might be able to help Denji (or even himself). Denji has no formal education and is living alone in a shack. You don't choose to do that if you know it's a choice. He is calorie deprived, so his reasoning is even weaker than normal (and he is not portrayed as very bright in the first place). The yakuza know where to find him and give him 'honest work', so there is no reason to be dissatisfied, except for being hungry sometimes, as far as he knows.
His reaction to impending death is telling: he has regrets, but not much resentment as this is just his normal- kill or be killed, except with demons more than humans. Little of what I just wrote was mentioned in the episode- I pieced it together from the context of the character and his personality and actions. That practice might help you explain to yourself why things don't always go as you think they should if you were calling the shots. Sorry that it bothers you, but it all makes more than enough sense to me.