I take the title in a broader sense, I think. Each plot had a series of circumstances that resulted in tragedy because of the choices that were made. WCS to me means that they are second-guessing themselves about the choices they made, and if they had done things differently, the outcome may not have been so tragic.
In the mailbox case, he clearly didn't realize that his choice of putting cement in the mailbox would result in death. So he shoulda done something different.
In the 2nd case, the daughter should not have been following the guy who killed her father and then gone to his house with a gun, that ultimately ended in the death of 2 people, actually 3 if you count her.
And in the Natalie plot, Grissom may be thinking that he shoulda solved the MK case sooner so Sara wouldn't be abducted and, thereby changing their lives forever; or he, plain and simple, shoulda gone with Sara when she left the second time. The "not making a decision was a decision' thing.
The somewhat of a cliffhanger in the end was very unsatisfying to me, like in LOAtR. This is Grissom's final arc; I would like more answers than questions at this stage.