The main probability is to surprise readers. Books and plots should be unpredictable and keep the reader guessing to sustain their interest and further engage them. If readers think they know where the story is going, they're going to put the book down and give up on it. Similarly to this point, writers want to avoid the same overdone narratives - the boy gets the girl, every key character survives, good triumphs evil. They've all been used so many times. So if the bad guys win or a lot of key characters die, the reader may be upset, sure, but the story will be unexpected and therefore original. Suzanne Collins did this with Mockingjay. She killed off a lot of key characters in this final book, and while this may have been a rewrite of the original plot due to someone leaking her manuscript, it managed to be an effective end to the series. Although killing off Prim was perhaps a tad extreme!
Another possibility for making characters suffer is that it's true to real life. Whilst readers may use books to escape reality, people connect with books that they can relate to, plots that reflect real life. A book is just not going to have a feasible plot if nothing happens and the main character stays happy and has a perfect life. It's just not realistic. The story will have no twists and turns to engross the reader and therefore will be unsuccessful.
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