I just read Joe Ollmann's Happy Stories About Well-Adjusted People, a collection of short story comics. As you might suspect from the title, the stories are generally about sad people living miserable lives. It's well done, and I recommend it.
I don't have an answer, but I think where we're at helps determine what we like. I'm not talking about culturally, but how happy we are in our life. I don't necessarily mind seeing sad people having a tough time, unless I'm having my face rubbed in it. (And I'm talking about pain that feels real, without comic exaggeration.)
But the truth is, this sort of stuff is a lot easier to take when I'm feeling okay. Not great, just okay. When I'm feeling lousy, and something is going wrong with my life, I'd rather see escapist entertainment.
A lot of people believe the opposite--that seeing others suffer has a cathartic effect, and thus helps us deal with our own pain. We all have our problems, and if they're not overwhelming, I get this. But when it's overwhelming, sometimes, seeing other suffer is more than I can take.