It has nothing to do with the intensity of the books. But with a perceived "relationship" many young readers have with Harry.
Devastating adults, or college age students who started reading HP in grade school (my son among them) is one thing.
Devastating a 7-year-old is entirely a different matter.
It's just my theory. Your mileage may vary.
BTW, there’s lots of movies and books geared to young elementary children that deal quite frankly with death (Charlotte’s Web, my fav. book in second grade for one) or Bambi or Old Yeller.
IMHO, YMMV, OMGWTFBBQ.
On the deeper level it’s the difference between the series being a morality play and a tragedy. In a morality play the main character learns and grows and screws up and learns some more and suffers and learns but in the end triumphs over evil thanks to what he learned. In a tragedy you do everything possible to make the readers love the main character then you kill him, often times pointlessly. If Harry dies in the end, especially if he dies without striking down Voldemort, the whole thing becomes a tragedy, and the moral lessons become somewhat weakened (what’s really the point of all that learning and growing just to bye the farm).
Tragedies tend to be less popular because we like our heroes to triumph, and there is a certain cruelty in spending hundreds of pages making people love a character just to whack him. It would have been kind of funny after 10 years of selling vast forests of books to turn the whole series into shaggiest dog of a tragedy ever, probably would have made some of the literary nerds like the series better. But I think it probably would have irritated a lot of the audience.