Why on earth would it be "dreadfully sad"? 
We called/call our parents by their first names because when I was 2 I started spontaneously calling them Dadsfirstname and Mummy, and they couldn't think of a logical reason for me not to use first names so just asked me to choose one or the other and either go for Dadsfirstname and Mumsfirstname or Daddy and Mummy. So I decided to go for the first names option and my younger siblings then naturally followed suit.
It was a bit of a pain later on, TBH, as it marked us out as a bit odd among our peers when we were desperate-to-conform teenagers and got confusing for other people. And also, presumably, random busybodies were deciding that it was dreadfully sad and pitying us terribly, but fortunately I didn't know about that at the time.
So recently when DD tried the same thing with me (except that it was my first name she latched on to) I stood firm and corrected her to "Mummy". She was very persistent, though, and I could quite see why my parents thought "well, where's the harm...?" (DS has always stuck to "Mummy" but DD has tried out virtually every variant under the sun... I am variously Mummy, Mum, Mamma, Mama, and probably several I've overlooked here. I guess she just likes playing with names.)
There's nothing at all wrong with using first names; I just like being Mummy while I can, before I get reduced to [incoherent grunt] or "can I have a lift to X's house?".