You're looking at this from a male perspective. How many dollhouses do you know that come with a villain? Or Barbie sets? Lego Friends sets? Like any bazillion-dollar toy manufacturer, Lego has done their research and tested how their products do with real kids. If these sets don't come with villains, it isn't because they're trying to shield kids from scary characters, it's because little girls don't care about them. Why do you think they named the girl theme "Friends"? Compare that to the best-selling non-pink Lego theme of all-time which has the word "war" in it. It sounds like I'm being sexist, but boys and girls really are hardwired differently. Source: I have one of each and worked in children's programming.
There's a stark contrast between how "boy" and "girl" stories typically end. In "boy" shows, the hero usually vanquishes the bad guy, who then vows revenge and runs off, tail between legs. But in "girl" shows, the hero and the villain often end up as friends! The villain-girl learns the errors of her ways because of the love and friendship of the hero-girl and redeems herself by putting things right. True, Disney princess movies often do have a villain that gets vanquished, but keep in mind that they have to market to boys and girls when they make a movie otherwise they lose half of their potential audience. TV shows can target gender more effectively and have fewer nonredeemable villains as a result.
And guess what? The highest-grossing princess movie ever, Frozen, [spoilerS AHEAD] doesn't really have a villain! Yeah, there's the bad prince, but how many other villains do you know aren't even important for the first 50 minutes of a film? Isn't the bad guy supposed to be the one causing the problems? What if Loki didn't reveal himself until 50 minutes into The Avengers? The prince in Frozen feels tacked on, as do pretty much all of the male characters. The essential story is about two sisters who grow apart and come back together in the end. One of them cuts herself off from the world because she thinks everyone else will hate her, but thanks to the love and sacrifice of her sister, she returns and sets things right and everyone lives happily ever after as friends and family. Result? More than a billion dollars at the box office.
Frozen is huge. HUGE. It's the highest-grossing animated film of all time, and everyone I know with a little girl is ready to put ice picks in their ears so they won't have to listen to that song again. A Frozen Lego set would do very well.