I think that Montag assumes that the show Millie is "watching" will have a happy ending because that is what would be expected in their society. Their society gives people stuff that will make them superficially happy, not things that will make them think.
If you think about it, great literature tends to be fairly sad. This is because it is meant to make us think about the human condition and all the issues that people face in their lives. But the society in this story does not want people to think. It wants them to go along blissfully even if they are only blissful because they are ignorant.
A sad ending would be too much mental work. It would be like literature and it might make people think. This goes against what the society is about and so you would not expect anything but a happy ending.