To what extent does Cather make us (the reader) disappointed that Jim and Antonia do not marry?

This question doesn't have one answer: not every reader, of course, will react the same way to the story. (Nor can we know exactly how much Willa Cather, author of the novel My Àntonia, was trying to "make us," as readers, feel a certain way.) Let's go over some of the main points of the relationship between Jim and Àntonia and how Cather writes about the fact that they do not marry, though your answer will be, in part, a matter of opinion. 
Throughout much of the narrative, Cather gives us several reasons to believe that Jim and Àntonia will end up together. They have a close friendship when they're young, and Jim appreciates Àntonia's warmth and kindness. As they grow up, he doesn't view her romantically, as his attention is on Lena (who is four years older and not interested in dating the boyish Jim). When Àntonia is working for Wick Cutter, she asks Jim to protect her from her threatening employer by sleeping in her room. He does this, and after a confrontation with Cutter, Jim also helps her move out. All of this (the friendship, support, mutual affection, and respect) seems to set the foundation for a romantic relationship down the line.
It's not to be, though: Jim goes away to university, and Àntonia, after becoming pregnant, is abandoned by her boyfriend. Time passes and Jim, before entering law school, goes to visit Àntonia (now a mother) at her family's farm. On this visit, he confesses his love for her:

Do you know, Àntonia, since I've been away, I think of you more often than of any one else in this part of the world. I'd have liked you to have you for a sweetheart, or a wife, or my mother or my sister—anything that a woman can be to a man. The idea of you is a part of my mind; you influence my likes and my dislikes, all my tastes, hundreds of time when I don't realize it. You really are a part of me.

It's up to you to decide how disappointing this is. In my view, it's heartbreaking and bittersweet, especially because, at this point in the book, Àntonia is not in a great situation as a single mother working in the fields.
However, years later, by the actual end of the book, Àntonia's situation has changed. She is married to a good man, with whom she has many more children; when Jim pays them a visit, he can see that she is doing well and that she's created a warm and loving family. It's still bittersweet that the two characters don't end up together, as we might have expected they would, but Jim's final thoughts in the book, which suggest peace and a broader understanding of destiny and the circle of life, help to alleviate that disappointment:

I had only to close my eyes to hear the rumbling of the wagons in the dark, and to be again overcome by that obliterating strangeness. The feelings of that night were so near that I could reach out and touch them with my hand. I had the sense of coming home to myself, and of having found out what a little circle man’s experience is. For Ántonia and for me, this had been the road of Destiny; had taken us to those early accidents of fortune which predetermined for us all that we can ever be. Now I understood that the same road was to bring us together again. Whatever we had missed, we possessed together the precious, the incommunicable past.