Arnold may be up to the task of being Goveror; however, he is not Superman. Too much has been made of his business acumen, and being anti-communist (as if there were any doubt). Being a successful businessman is not a recipe for success in politics. Look at Michigan for one example, though not current: Both G. Mennen Williams and George Romney parlayed successful careers in industry into less-than-stellar performances as Governor.
Grenhut is not so much depressed as he is able to suppress his emotions to recognize that this election, though important, is not a panacea.
He also seems to understand that a lone governor of any stripe isn't likely to turn California around. The Democrats will remain by far the dominant political force in the state - not least because they control the legislature. High expectations for any non-Democrat governor are bound to be frustrated.