One big difference between wanting to die and wanting Moshiach to come is that the latter is a Mitzvah while the former is an Aveirah.
And Newbee, your original question is a very good one. Part of the answer is that Moshiach won’t / can’t come until we deserve it to happen. And so, one who truly cares about Kevod Shamayim will live his life in such a manner, which includes not only WANTING Moshiach to come but also actively BRINGING Moshiach.