Unfortunately, SMT4, Devil Survivor, Soul Hackers, and Persona 4 are the only ones I've played, and, as you said, Persona 4 is certainly in keeping with that tradition. I received the "bad" ending the first time I played it. Granted, the audience for this game is probably more familiar with the series' multiple endings than most game audiences, but that doesn't excuse the game's poor handling of those endings. I'm fine with the idea of multiple endings and I don't mind having received the short end of the stick, but if I was interested in seeing all of Persona 4's content, the obfuscation of its ending choices would have felt unfair. I don't know why the choices I made were deemed incorrect, and if I were to replay the game, I wouldn't know what to do differently.
I think I've had enough of the overarching Shin Megami Tensei series for one lifetime though, so I'll have to take your word that it's improved in the other entries.