As a Brazilian who grew up in the 90's, I grew up watching tokusatsus and Shojo animes. The media wasn't wrong in accusing the animations of being brutally violent (the live actions, not so much), and therefore sensationalist, but this wasn't why my generation loved them. They had this emotional depth, this gritty feeling, this catharsis that I later discovered adults called tragic.
Protagonists with tragic flaws; moral choices and opposition of parties with different virtues; fatalism. I remember seeing it in Zodiac Knights and Kamen Rider; and more recently in Attack on Titan and Neon Genesis Evangelion. This set them apart from the American products. Kids in Brazil learn to despise American mass culture early, but the attitude towards Japanese pop culture is much more respectful because it doesn't seemed as brainless and industrial to us.
How did Shojo media developped characteristics so close to the western idea of tragedy or maturity? Or why didn't Western juvenile media? Is that related to the perceived violence of Shojo?
Sorry I'm not sure I'll have an answer for this, but just asking for some clarification. Do you mean Shoujo anime, which is more focused around female stories and plots like Rose of Versailles, Sailor Moon, or Magic Knight Rayearth? Or do you mean Seinen/Shounen like Neon Genesis Evangelion, Attack on Titan and others?