Ambrosia is taking her daughter on a perilous journey that she herself may or may not make it out of alive. Of course, it's reasonable to take her along, since the alternative is Tamashii growing up an orphan. But this may still happen, with the added danger of Tamashii herself getting killed off. Or her father, for instance. What parent wants to see their parent die at the hands of wild monsters? She's not a teenager either, as many heroes are. She's nine.
As an Easter Egg, if you add Yazim Jianne into the party, there's a scene that has him introducing himself to her, and she promptly declares "Mommy, this man is a pedophile." Anyone who has children might still find this funny, but with a twinge of horror mixed in.
The Chain of Harm. The entire thing is shown visually, which is sort of cute, given the 2d spriting, but the punchline is extremely disturbing.
Dying Dream/Dream Apocalypse: There is a very real possibility that Ambrosia was dead before this game even began. There's also a very real possibility that none of the other characters are alive or even real. All this combined together makes for a very frightening premise for about 20 minutes, until the story's resolution.
In several of the endings, if Ambrosia dies, the universe just explodes. Doesn't sound that scary? Think a little more about this, all of the universe. all of existence, resting on the hands of a single person, and if they die anything and everything gets snuffed without so much as a scream.