I think the instinct actually is to wonder about the characters and their world, but little kids aren't capable of maintaining that curiosity in the face of "they lived happily ever after". It seems to answer their question, after all. So by the time they get to an age where that answer isn't enough, they've quit thinking about it.

("And then they lived happily ever after, the end" sounds an awful lot like a tired parent trying to make their kid shut up and go to sleep already. So we get trained not to wonder anymore.)