These are what we call the 'YMMV items.' Things that some people find in this work. We call them 'your mileage might vary' because not everyone sees these things in the same way. This starts discussions in the trope lists, a thing we don't want. Please use the discussion page if you'd like to discuss any of these items.
Esoteric Happy Ending - Judging by the very negative portrayal of consumerism and mundane thinking that Kevin's parents represent, the filmmakers might see their total destruction to be a good thing for Kevin in the long run.
Fridge Horror: Kevin was more than happy to stay in ancient Greece as the adopted son of King Agamemnon and is most unhappy to be "rescued" by the Time Bandits. The idea of Kevin living happily ever after in ancient Greece becomes a lot more disturbing when you remember that King Agamemnon is murdered by his own wife later on, so the bandits probably did him a favor whether he liked it or not.
Agamemnon himself arguably experiences this in universe when he realizes that the "magic trick" is real and his newly adopted son is gone for good.
Genius Bonus - The unspoken tension between Agamemnon and his wife is a reference to their fate in Greek mythology: their marriage ends in murder. It's perhaps best that Kevin isn't around for that.
Evil's army. As if a hoard of screeching, 8 ft. tall creatures with hook hands and cow skull heads weren't scary enough, they can also shoot missiles out of their eyes.
Unfortunate Implications: The Time Bandits were written as little people so that audiences would accept a child as their equal. Thus, the filmmakers were planning on audiences seeing little people as less than full adults.
What Do You Mean, It Wasn't Made on Drugs? - The weirdness builds up during the entire movie. Once the protagonists enter the Time of Legends, it gets downright trippy, with the final showdown against Evil as one of the most surreal moments in the history of cinema.