Actually no, not all of them went through the same or dealt with it the same way.
Gray thought his parents died years ago. He already assumed they were dead. Same principle for Sting and Rogue, they were under the impression they killed their parents years ago. One way to look at that is that they were actually fortunate as they assumed their parents were dead, but in the end were given a chance to meet them again. Imagine someone you love dies and then at one point you get the chance to meet that person again. Something like that isn't so bad.
Gajeel and Wendy went through the exact same thing as Natsu, however Gajeel actually never showed much interest in finding Metalicana and Wendy only at the time she got introduced and when she met Polushka. Natsu is the only character that had a real pro-active attitude towards finding Igneel and this from chapter one. Natsu has been searching for Igneel for more than 400 chapters and he always acted quite emotional about it.
Also don't forget that, despite FT being a manga that focuses on a large group of people, if you have to point out the main (male) protagonist, it's Natsu. All the other dragon slayers got introduced later in the story and finally Natsu had to see his father being butchered. At least the other dragon slayers could somewhat say goodbye in a more serene manner.