Of course Connor loved Cordy; it's crazy to suggest it was anything else. He was suicidal because he saw what his love of her (cordy) caused.
IMO, he loved both of them. He clearly loved Jasmine, too - both as his "daughter" and as the one to provide him with a temporary modicum of peace/clarity of mind he never knew before.
Both these loves (Cordy & Jaz) are disappointed on many levels at the end of the season - not only the "what became of it" level you mentioned, but also...
- the woman he loves is permanently comatose now
- his love affair was never "really" with her, but with Jaz puppetteering her
- all his existence, he's just been a tool of either Holtz (yet another disappointed love, there) or Jaz
- the world of bliss Jaz offers does not work for him => if even she can't make him happy, happiness is forever impossible to reach
- by killing Jaz, he ruined the best chance mankind had for blissful world peace
It doesn't take much thinking to understand why suicide had to seem a damn good idea to him after all that. If
this doesn't make one go "f*** the world, I'm outta here", pretty much nothing will.