Why do you think Shakespeare chose to indicate the sad conclusion of the play at the beginning of "Romeo and Juliet"?
The title of the play, The Tragedy of Romeo and Juliet, already gives it away. The Prologue in Act I acts as an element of foreshadowing, and so the audience gets the basic background of the plot. Afterwards, they are to watch how the plot unfolds, all the while knowing that the two are doomed. I think it heightens the drama for the audience to be aware of the overshadowing gloom right from the start, especially since Romeo and Juliet are characterized as "star crossed lovers", indicating that fate has something to do with the outcome. It is similar to Homer's technique of telling the reader of The Odyssey that Odysseus returns to Ithaca alone, with no crew and no ships, to face a host of suitors vying for his wife's hand. Homer then goes to the point in the tale where Odysseus and his men leave Troy for home, although the reader knows that only Odysseus will make it there.
Shakespeare wants us to know from the start that there is a lesson to be learned in this story and he wants to be sure that the audience "gets it." The theme (and the lesson) is that Revenge creates a no-win situation. The fueding that is continuing between these two families is a source of grief and sadness for both sides. Now, their fueding has caused both families to lose that which they love most. Romeo and Juliet are the future. Without them, there will be no grandchildren and no one to carry on the families' fortunes. So all the fighting was for naught.
This is Shakespeare's best and most timeless play. That is why the story keeps getting told over and over, both as Shakespeare's story and remade into different time periods such as "West Side Story" and "Mississippi Masala."
Shakespeare, like many writers today, despises war and violence and did his small (actually quite big) part in communicating to the world that war and revenge are just not worth the consequences.