It’s the ‘just for me’ that gets to me.  That John is the person in Sherlock’s life who has the right to ask for the ridiculous.  That that’s the relationship they have.

There’s an alternative reading here, though, you know.  What if, instead of this being an expression of loss, John actually did figure it out?  ”It’s just a trick.  Just a magic trick.”  So that here he is literally saying, “Stop playing dead.”  And he isn’t grieving Sherlock’s death.  He’s grieving that Sherlock is leaving him.