Harry losing his parents hurt, but it was generally an abstract kind of hurt; he didn’t know exactly what he was missing, but he knew that he was missing something, and that it was a very big something. He didn’t remember his parents’ warmth, love, laughter, or them singing and dancing and playing with him. So it was a hurt, but a dull ache that was just constantly there, and it chafed—it hurt the most—when he got a glimpse of them, when he realized what, exactly, he was missing: the mirror, their voices as they died.
When he lost Sirius, though, he knew exactly what he was losing—someone who loved him, who rooted for him, who would always, always come to help, the beginnings of a home and a proper family.
And it hurt. Damn, it hurt. It was the most consciously painfully emotional thing he had yet endured, and probably would endure. It was his sharp and stabbing and brutal and he wanted to drown in it.
“I DON’T CARE!” Harry yelled at them, snatching up a lunascope and throwing it into the fireplace.”I’VE HAD ENOUGH, I’VE SEEN ENOUGH, I WANT OUT, I WANT IT TO END, I DON’T CARE ANYMORE!”
"You do care," said Dumbledore. He had not flinched or made a single move to stop Harry demolishing his office. His expression was calm, almost detached. "You care so much you feel as though you will bleed to death with the pain of it.”
Harry’s cried before—he does several times in the books—but he’s always impatiently brushing his tears away, or feeling embarrassed for doing so. That time at the lake was probably one of the few times in his life when he absolutely gave in to grief and let it engulf him.
Anyone who says Sirius didnt mean the world to Harry is just wrong.