Video games often require players to suspend disbelief, and we're usually more than willing to do so. It doesn't matter why the bad guys are bad, so long as that means we get to take them down with some awesome moves and have fun doing it. But after said bad guys have been put down and justice has been done, we sometimes start to think about all the weird, unexplained things that happened along the way.
Take Mario and the Mushroom Kingdom, for instance. We've explored that world dozens of times through dozens of games--yet each time we do, new questions arise. Who is Mario, really? Where'd he come from? All of these things slip from the mind once you start trouncing Koopas. But we still have so many questions, and so few answers.