People watch tragic scenes b/c they feel sympathy for the characters. They understand whatever the person in story is going through must be horrible. Tragedy tells you how to feel about a character by building their story. Also, tragedy makes the stories less predictable and less boring. If there is nothing different to move the story forward and all conflicts end the same way, it would become boring to watch/read.
For example: The fault in our stars is a tragic movie but we love it because of the story and tragedy in it.
