I second that.
if story is too serious and makes me attached to its characters it turns into tragedy not guro.
But also I want to see decent plot in the story as well. if story is just an alphabet soup it is not fun to read either unless it is very short.
the best solution is when story is based on some unconventional motives to drive its plot. something to show it on another angle to prevent turning it into tragedy for example presenting it from the perspective of some other character. or another way is when guro is not really the topic of the story but just a thing to spice it, or when its main characters do not die.
If story is actual plain tragedy after all for me it leave no other choice but just avoiding falling in love with its characters or treating it just as meaningless work of fiction. but this kind of approach takes away lost of pleasure which I could have if I could get fully immersed into the story.