Things like this urk me for a lot of the same reasons you had brought up. DMing is telling a story and while so much of table top is improv there are still moments that if you took them away from a campaign would cause the whole thing to fall apart. Players are meant to try to outsmart the DM in a way, use your gear and abilities to do things they didn't expect from you and you're having a great time. Wrenches get thrown into the cogs every second but giving anyone carte blanche to throw that big a wrench into the works is not a good idea.

If a single person is uncomfortable or unwilling to go along with something there is the option to just speak up or walk away whether in character or in the real world. If it's a group of friends I'd hope you'd found people who mesh well enough with you to accommodate you, and if it's at a game shop or con with people you'd never met then most people don't want to have "I made someone cry." as part of their reputation.

Even a situation that is uncomfortable or unpleasant doesn't mean it's harmful to you. Recently my grandmother died and my job gave me a few days off to help get things in order and grieve. I do much better when I have something to do in any situation but I needed something even more then. Recently a friend had paid me back with a game called Va-11 Hall-A. It wasn't my usual type of game but I was interested in the setting enough and started playing it. The entire time I played I felt too like the main character. At a point I would pay more attention to who spoke next and try to guess what she would say, occasionally getting something dead on aside from the wording.

Roughly halfway through the story it's revealed that a character from the protagonist's past has died and a relative has come blaming the character. Lliterally the day after my grandmother's death I'm faced with a story where a person's death is a crucial plot point. I had an x-card, I could've turned the game off and never looked back. But I didn't. It kept going and I kept seeing more of what I was feeling coming through in the story. It was a therapeutic look at myself and the way I was dealing with my emotions.

It wouldn't be an understatement to say that the game had changed me a bit. Running and hiding from it when it comes up in a controlled way would have been me robbing myself of personal growth. I doubt that many people can craft situations that would be so useful but it's not something you can tell from the moment you see things starting to veer in a direction. If a game isn't the place to look at and deal with what mentally disturbs you then where is?