Maybe by reading or watching sad things, it helps people deal with the sadness in their own lives? Maybe not on the same scale but still. I do not watch sad things on purpose as I don't want to think about, stuff that is sad. But I know for example in Zen Buddhism, they encourage us to look at all emotions and work through them. It's pretty hard to do though, I am trying.

And all of this is just my thoughts only on why. And it's very possible I am getting carried away. ;-)