Worldviews and Sanity
The answer is simple. Both men were honest about what their worldview meant to themselves and humanity at large.
Lovecraft had a personal philosophy of Now all my tales are based on the fundamental premise that common human laws and interests and emotions have no validity or significance in the vast cosmos-at-large. He also once wrote The world is indeed comic, but the joke is on mankind. He took his atheism to its logical conclusion, that life was futile and hopeless and died a madman at the age of 47. Now to be honest, his writing is often poor and weak but his stories themselves . . . thank God there is no truth to them.
David Lindsay was a Maltheist, ie one who believes that God's intentions are not in mankind's best interest. As I wrote before his biggest problem was that he was a man in his 40s and 50s but his understanding of the Christian God was similar to that of a five year olds; his theology never advanced beyond the child's prayer God is great, God is good so he couldn't understand how a good God created a world where evil is so powerful. What is sad is that in many ways he was so close to the truth, but refusing to advance another inch may have cost him everything. It did cost him his sanity.
You look at the writing of some Atheists, such as Ayn Rand and wonder why they bother. Their bland optimism is without rational foundation. If there is no God then there really is no hope for us as individuals, a species or even a universe. You can wrap yourself in drugs to forget it, or stop thinking about while you tend to your own garden (Voltaire - who was technically a Deist but is considered a hero to many materialists) or go mad (as did so many, such as Neitzche).