Nope, you aren't doing something wrong, that's just how support is.
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Had an enemy Jhin yelling at his Leona that she, "never made a play all game. Brand won lane for Lucian." Any time Leona dove on Lucian, I immediately combo'd Jhin for 90% of his health and then Lucian dashed over and finished him off. Eventually Leona stopped diving cause they were so far behind. I would've done the same if I was her.
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I was told, "I'm not carrying this support" by our jungle after we were dove 4v2 bot. I managed to get Brand's EQWR combo off before they killed me and my ADC survived with a triple kill. In the end Lee said, "tbh, brand normally does more damage" though apparently being the highest damage dealer in the game wasn't good enough for him since I "kept dying".
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Played Lulu support and saw my Draven trying to take bot tier two tower solo as the enemy started walking towards him. I pinged danger and ran in that direction to see the Lux, Ashe, and Annie collapse. I somehow Flashed, Exhausted, ulted, shielded, and polymorphed. He somehow came out of that with a triple kill and 200 health. "gj Draven" said our top. No, incredibly lucky Draven.
Every once in a while you get that one person that notices what you did for them. I had a Jax a few games ago that was trying to get dragon pretty early on and so he was losing a lot of health from it. I wandered up when I noticed and the enemy mid, jungle, support, and ADC started collapsing on us as Jax continued to tank dragon hits to about 300 health. Jax was trying to avoid skill shots by jumping to me or wards, but eventually a Lee Q landed and he went in for the kill. I managed to ult Jax in time to stop Lee while our mid came down and quickly deleted the enemy mid before helping us kill Lee. The other two ran away and we took dragon. After that Jax typed "Lulu, my hero."
Those are the moments where you feel like you did something. I enjoy being able to play a support who enhances my team. The only problem is sometimes that isn't the option. I can play Soraka and drop heals every time it's off cooldown, that doesn't mean that the Vayne trying to 1v5 at 2 minutes into the game is going to win though. I can land a Thresh hook, flay, into box combo that lockdowns down the enemy ADC, but if my ADC is too busy farming, it means nothing.
The alternative is to play a carry support like Brand, which I tend to do a lot due to teams not realizing a full AD comp or full melee or full Assassin (besides ADC) comp is a bad idea. Yeah, I doubt the enemy team is going to be buying multiple MR items to counter the support Brand, but they aren't going to be able to just ignore the damage I can put out. And, at the very least, all the AOE I can do can discourage teams from trying to engage or force them to blow multiple ultimates just to eliminate the support.
The best thing to do is figure out the best way for you to carry. If you are an amazing Blitzcrank, you can carry games by picking off people who are out of position. Or landing a Lux bind into ult should chunk the enemy carry enough for your ADC to get that finishing blow. If the ADC isn't aware enough to do that, there's not much you can do but realize that you aren't at fault and keep trying your best. Eventually you'll be better at ignoring all the whiners complaining about "BRAND, STOP KSING. YOU DIED AND STILL STOLE THE KILLS."