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An underrated reason is that dark stuff is fun within limits.
I also think the whole "kid armed with monsters heads out alone into a magical land of adventure" has a sort of Alice In Wonderland edge where it's not at all a dark story but it's somewhat unsettling because you can easily imagine disaster or horrors befalling the child, which is something played up in (generally poor) adaptions.
That sense of formless peril and mystery is something present in a lot of good children's stories deliberately in a way that resonates especially with children, because life is a confusing lonely void at core and children intuitively already have a sense for that.
