Caporegime
The only think shocking about these kinda movies is that anyone (a) has any fascination in them (b) finds them shocking... its not like its hard to come up with something "depraved" and "shocking" and then come up with something even more so - anyone with a reason for watching these kinda movies does need their head examined because they are either incredibly childish or are actually depraved.
Isn't the primary reason to watch a film (of any genre) to invoke an emotional response?
Comedies to laugh, romantic dramas to cry, horrors to be scared, etc.
What is some people want to see how shocked they could be, possibly getting such an emotional response is a bit of a rush, like adrenaline from bungee jumping.
People are curious by nature, might just be that.