A good story also has an engaging plot, and that requires that there be conflict between heroes and villains. And we all know that no comedy, however funny, can ever be as memorable as a tragedy.
Art imitates life. We create our personalities, our ‘selves’ from the same five aggregates of form, feeling, perception, formations, and volitions. Our lives are full of drama, and to give them more ‘meaning’, we turn them into tragedies.
And, just like in any story, these characters and their travails are fictional.