I guess that I'm thinking of it four ways. And I think 1. 2. 3. 4. here apply to totally different people:

1) If you like two particular characters, say Spike and Rarity, then it's satisfying to see their love become true and then to see them- well- 'consumate' their love. The sweetness and innocence is still here, just viewed in an adult way / through the adult prism. It's not really against the spirit of the show-- it's a logical extention.

2) If you like a specific character a lot, then it's also nice to see some kind of Mary Sue / Gary Stu stuff when she's taking in the caring love of some anon character. Like this one YouTube comment I once read that said, "Oh if only I could find some girlfriend as elegant as Rarity then I would love to be her Prince and have so many kids and be together FOREVER :3 :3" (paraphrased).

This is the same thing as when guys would fall in love with a particular Sailor Moon girl and draw their own fan-worshipping stuff, write stories, etc. It's wish-fufillment in the pure sense (since who else wouldn't want some caring, angelic girlfriend out of nowhere). This kind of mindset appears weird in this case because they're ponies-- but the point is that fans are attracted to the characters.

3) If you like remaking, reimaging, or other wise mixing things up, then it's fun to see characters thrown into another adult world. Like putting ponies into frickin Silent Hill or something. Just imagine the creative, fun possibilities.

4) If you're a person with a depraved kind of libido, then it feels great to put yourself in the God-like position of seeing such pure, innocent, child-like things perverted. Just the pure darkness and kinky nature feels so right because it's so wrong. Same motivation that makes people enjoy seeing BDSM, simulated rape, etc. I guess.

P.S. Still, you could be all four at the same time. I think I'm all four as I'm a completely morally depraved bisexual who loves seeing things from guys drinking shemale enemas to mother-son parings to Spike from MLP being molested by some human guy to ...