A comforting thought that can be given to Dexter is for him to not be afraid to look life in the face, and to see it for what it is. His obsession with "Winter Dreams" convinced him that the ideal is what life should be and how life should be viewed. I think that being able to see life for what it is at the end of the story might be the start of something more real and substantial in his life. The premise of his "Winter Dreams" is love of an ideal that is shallow and not substantive. I think that a comforting notion that might be given would be that while "that thing is gone," in its place something more real and valid can arise.
Another thought of comfort that can be relayed to Dexter would be for him to take stock of how his life has changed and that there is an upward trajectory to it. The ending is one in which there is an embrace of the tragic condition. He stares out at the New York skyline "into which the sun was sinking in dull lovely shades of pink and gold." It is a scene that lends itself to being tragic and Dexter ends up wallowing in it with the ending. However, the reality is that something inside Dexter compelled him to leave Judy. Something inside him understood that his ability to fully accomplish his "Winter Dreams" was never going to happen. Something to comfort Dexter would be that while there is sadness about his dream being gone, it might never have been there for him in the first place. His initial desire to leave and live a life apart from Judy is a step towards his own independence, an embrace of his own autonomy. While there is loss at his discovery of Judy, there can be an advising for Dexter to shed the tragic condition and understand there is also a sense of reality about who he is and how he shall live. This cannot be that bad of a thing.