Here's a show about various kinds of evil. Of course, you've got the lead character, Mr. Hell, who delights in bringing suffering to others (provided he can do it with a certain flair). But you've also got the evil that arises from just plain life. The character Josh keeps trying to tell us about reincarnation but, well, always goes on to his next life before he can finish the first sentence. A psychopathic harp seal kills people when he experiences flashbacks of an earlier time. A Victorian lady can't accomplish anything because of her time and place.
In other words, the show doesn't portray evil just to be shocking. Rather, it strips away our blindness to bad things and lets us laugh at them.
Take, for example, the parody of "The Lion King". While the father is telling his son about "The Circle of Life", the other animals (a.k.a. prey) start complaining that the circle seems pretty lopsided. The father tries to justify his explanation, but one animal (who is the process of being eaten) dismisses his argument with a pithy (and necessarily brief) remark.
I liked that parody because it attacked a very silly Disney movie that made snuggly little cuties out of carnivorous beasts. Case in point: note how the son in "The Lion King" eats grubs for most of the movie so the kids don't have to see how lions REALLY eat. The Mr. Hell Show is an antidote to that kind of "let's not think or talk about it" attitude.
The fact is, there are some sucky things in the world, and turning a blind eye for the sake of our comfort doesn't make them go away. However, if we can laugh at the absurdity of it all, maybe we can find the strength to actually DO something.
I think that is a sub-text of this cartoon. One reason I say that is that occasionally something pleasant DOES happen on the show, for no particular reason (e.g. the "Golden Baby" bits). In other words, the show isn't just wallowing in nastiness, but examining it with great deftness.
