Well, you can't really compare a 20-minute TV-Show in its usual episodic format to a full blown videogame with a very complex storyline. Some modern TV-shows can manage this sort of thing because the episodes are twice as long (or more) and they are mostly intended to be watched online in bulks.
Shows for kids are even more restricted and MLP did a overarching plot going on in the background for each season. They simply have to work within their limits. You have to keep in mind that there are many TV-stations who only buy the show because of the 20-minute format and often they don't buy the broadcast rights for all seasons. Then the episodes are often aired in another episode-order than the original one. Even double-episodes are problematic and mostly only occur at the beginning or the end of a season.
Regarding mature themes:
- Hasbro wants to sell colorful toys to little kids.
- The tone of the show is bright and positive, arching from the soundtrack, the artstyle, the voice-acting, the themes, etc.
Take your example regarding "Courage the cowardly dog". The artstyle and tone is a lot darker and more gritty, darker themes are hinted at throughout the entire series and the target audience is a different one.
- if the show would aim to change towards much more darker and mature themes, everything would have to develop in that direction. Character design, background art, sound design, voice acting, the color palette used, etc.. In other words. MLP FiM would change so much that it wouldn't be MLP FiM anymore.
TLDR
A 20-minute bright and happy cartoon aimed at kids with the intention to promote toys for young boys and girls (mostly girls) simply has its limitations and boundaries. If they are overstepped too much, it's not that cartoon anymore.
Sorry.. you're mostly asking for an apple to taste more like a blueberry. If it does... it has become a blueberry and ceased to be an apple.