The Kickstarter videos. First, there's the entire premise of the puppets being kidnapped and held hostage, which several people have criticized for crossing a line into legitimately traumatic territory. Then, in "HELP #2", there's Yellow Thing having a bag put on his head and yelling, "No, I don't want it!" It's very unsettling, especially since Yellow Thing is crying while he's talking.
There's also a split-second shot of Sketchbook's face on the floor. Just her face, not the rest of her. She could be dead... or alternatively, she could be still alive, but faceless.
Look closely at the room. She may have been nailed to the wall.
"HELP #3" has the evil puppet gathering a collection of body parts (which may or may not come from our heroes) into a bag and writing 'YOU' on the bag with what's probably the puppets' blood. All while distorted cheery music plays in the background.