***** NOT A TEACHER *****
Great question. I do not know whether I can help you very much, for you say that all those words seem to be synonyms in your language.
Here is an idea: change the sentence back to the active voice:
1. Team X harshly defeated our team.
2. Team X grimly defeated our team.
3. Team X cruelly defeated our team.
4. Team X sadly defeated our team.
5. Team X comprehensively defeated our team.
6. Team X thoroughly defeated our team.
In my OPINION, "thoroughly" seems to be the best choice. That is, Team X did a thorough / complete job in defeating us.
I can understand how difficult it is to understand the different meanings of English words. It is also difficult for many native speakers, such as I.
I will now make up sentences using those other words (I will use the adjectival form).
Whipping people is a harsh punishment.
His chances of getting a job are grim.
Some people on the Internet say cruel things about other people.
She was sad when her dog died.
That school offers a comprehensive education.
"Comprehensive" and "thorough" can often have about the same meaning. I do not think, however, that "comprehensive" would work in your sentence.
"Sadly" would work if it described your feelings: "Sadly, my team was defeated." But your sentence seems to emphasize HOW your team was defeated: "My team was thoroughly / totally / completely / decisively / crushingly defeated."
Student or Learner