To your point, at least for third party voters, only two states had enough third party participation to even theoretically move the end result: Michigan and Wisconsin. So even if every person that voted third party instead voted for Harris, she would have still lost 287:251 (though she would have won the symbolic victory of popular vote).
Of course, there's more than just a single election in the country, so more important to keep active in down ballot races.
The biggest potential complaint of consequence would be non-voters/people who boycotted the election, but no way of knowing anything about it.
Still it is utterly obnoxious when someone seems to act all high and mighty that they didn't vote for the lesser of two evils.