It's an interesting question. There are some films/ series I will only watch when I'm in a certain mood. Because, they are kind of devastating in a way. Requiem for a Dream, The Whale and, to a lessor extent, the HBO series, Chernobyl.
Even some endings in films, I can't stand to watch sometimes. Emotional deaths and especially mothers dying (mine did,) I don't always feel up to handling.
I think it's a mixture of reasons. I already know those films/ series are sad or disturbing so- I'll tend to need to be in a particularly sad mood to watch them again. A kind of- it can't get any worse type of thing.
Also- maybe for their cathartic effect- to kind of wring those emotions fully out sometimes. I'll do it with songs too- if I need a quick cry. Some songs are almost guaranteed to produce tears. So- I suppose it's a tool to get those emotions well and truly out and expressed.
I also have other things on in the background to oddly reassure me of my life choices. I have a fascination with true crime, which probably isn't all that healthy. But, I suppose in some regards, it makes me relieved my life isn't that bad. Or, that I didn't make the decisions that could have lead it to being that bad. Not to say all relationships are abusive but, hearing about some of the things that go on makes me pleased I'm single!
I watched some psychologist or something being interviewed about our fascination with true crime the other day. He was saying it's predominantly women who are interested. And he proposed that in part, we use it for educational purposes. We are trying to learn how not to become victims ourselves. I think there's truth in that.