Sadness is the difference between what you want and what you got.
Sadness is longing for something you can't have.
Sadness is missing something you wish you had--still, again, or ever.
Sadness is being aware you're not where, or when, you want to be.
Sadness can indicate these things and also feelings of inadequacy or futility...based on a perceived gap between wanting something and your abilities to manifest it.
Grief is a stronger, more overwhelming feeling of sadness based on loss or accumulated losses. While it encompasses some or all of the above situation, it may also include regret, guilt, and denial.