That type of fascination isn't uncommon. One of the most popular My Little Pony: Friendship is Magic fanfictions is a grim/serious crossover with the Fallout games titled "Fallout: Equestria". I've never read it myself (since I am unfamiliar with the games) but I notice that it always gets mentioned in places where MLP fans congregate, such as the Equestria Daily and DeviantArt.
Also, when I was a child, I wrote a Hamtaro fanfiction that had a similar plot to the movie Titanic because I wanted to see a more serious storyline done in that series. I also read other people's grim/serious fanfics of that series too.