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With a Trauma Conga Line our character has a chance to be rewarded afterward, no such luck if it's a "Shaggy Dog" Story.
It's about narrative framing more than the suffering. A Shaggy-dog story subverts our basic idea of how stories work: there is a long build up to very little. It may involve a character suffering or labouring for no purpose, or it may be anything else that feels like it is setting up a climax. A trauma conga line is a character suffering, it may or may not have a point. (It may end up with them rewarded for it, or learning about the world or themselves, or it may be in part karmic.) The two often overlap, but one is about the (lack of) ending, the other about the process.
Stories don't tell us monsters exist; we knew that already. They show us that monsters can be trademarked and milked for years.
What's the difference between "Shaggy Dog" Story and Trauma Conga Line?