Interesting thread! As a serious listener of music and someone who gets deeply affected by it, this is 100% true for me. Almost all my favorite music is sad. I had never thought of catharsis as a possible reason. I thought it was the music itself, not the lyrics or underlying pathos.

I grew up in India. There's a Hindi saying about Bollywood film music, a rich tradition going back 75+ years: "One sad song is worth a hundred happy songs." From my experience, absolutely true.