Because they are the best kind of heros. So much to overcome during the course of the story.
But then they find their hard work rewarded and live happily ever after...what kind of message is that sending to our kids? "Nose to the grindstone, son, and you'll have a throne of your own someday." Children need to be slapped upside the face early on with the cold hard facts of life. Give them heroes like Agamemnon -- survives ten years of brutal war only to return home and get hacked to death in the bathtub with an axe by his cheating wife. Now that's reality! :-)