It's interesting that many of the pieces mentioned, especially the movies, have sad beginnings. A parent dies or disappears at the beginning of almost every Disney film. The endings aren't sad though.
I don't know that a picture book with a truly tragic ending would sell. By tragedy, I mean the main character failing to achieve his or her goal without learning the goal was the wrong one in the first place. In real life, we don't always get what we want or need from a situation. In picture books, the needs have to be met whether the wants are or not. Even the books that deal with death have the need for comfort being met. Thus, they are bittersweet.
Some of these books make us cry because we understand the larger implications of the story, and have the life experience around it, but the young reader doesn't.