It is true that we as a species seem to have an enduring fixation with destruction, which can likely be attributed to our fascination with our own demise, and what comes after. A mystery that we will likely never solve, though mysteries do make great stories...
However, I do not believe that our collective morbid curiosity quite accounts for the whole picture. I think that somewhere, we know how a story is supposed to end. A true ending is as final as the plunge of the guillotine's blade, for every life ends in death, and every flight in a fall, or at least a return to earth. Any story, or history, that tells us otherwise, simply has not continued long enough.
So a happy ending marks an incomplete story, and we feel it, even if we are not quite able to articulate why. We feel cheated, tricked, infantilized, because the writer is keeping something from us that they don't think we can handle.
As a writer who has written many endings, both happy and sad, even I cannot say what compels me to end a story in one way or another, except perhaps something in the story itself. But I can say that sad endings cause me as much pain to write as they do to read. I do not want to end a story in tears, because if my readers were half as attached to my characters as I am, I may well start a violent revolt.
So if happy endings are not true endings, that's fine with me. I'll take a wedding over a funeral any day.