Well, actually in the lyrics Gabriel's despair for his brother's death, while clearly stated, it's basically mentioned only once, while it takes 10 minutes of the album (imagine this as a stage production running in real time) to despair over Faythe.
Anyway, Arhys was dead but Faythe was (mortally) wounded, so once you go through the shock of seeing your brother already dead, it's only logical to cling desperately to your love who hasn't died yet. Not much use to cry over a dead body when the other most important person of your life is laying wounded.