The first time Penny died it wasn’t her fault. Of course she still felt immense survivors guilt and partial responsibility for her death. If she had been just a bit faster or just been more aware of Team CRMS' scheme, then Penny wouldn’t have died in Amity Arena. But that is not her fault. Cinder caused those events to transpire and is the one who killed Penny.
Every time Ruby was reminded of Penny in passing conversation or through one of Penny's common sayings it was a dagger pushing into her. An open wound only lightly covered by optimism and the pressures of leadership. Something she could keep isolated and locked away as she had a mission to accomplish.
The second time Penny died it was her fault. It was her plan, her leadership, and the her failure that directly led to Penny dying at Cinders hands. She made a plan, yet, when the plan was knocked off course she was unable to course correct. She was taken out of the equation by Neo and Cinder and could not prevent what happened. If she had been better, more careful, smarter, then Penny would have lived and been alongside Team RWBY. But instead she lied dead in a world outside of the bounds of Remnant and Ruby is responsible.
Ruby must have realized at some point that she loved Penny. Love as either a close friend or more than a friend. She only had a limited time to interact with Penny. Penny was under a tight leash from Atlas and Ruby had other things to focus on: finding Blake, stopping the White Fang, preparing for the Vytal Festival. There was a deep connection and sense of friendship from their first meeting onward but nothing was able to materialize.
It’s her cross to bear. A weight that will drag behind her for the rest of her life. Of what could’ve been or what should’ve been. What would’ve been if they lived in a better world. It’s a weight that she cannot shirk but can only manage to cope with and move forward even with that burden.
At Beacon Academy, Ruby gave a pep talk to Jaune that proves to be the most haunting:
That will be the lasting lesson for Ruby. A self inflicted wound. Penny’s death is what would break Ruby finally after a drawn-out and gradual downward spiral. Her failures as a Huntress, as a leader, as a friend, are what caused Penny's death and there was no going back from that. There was no one to blame aside herself.
