In the case of (former) East Germany this has to do with censorship and cultural dialectics. As the German Democratic Republic started constructing its national culture in the late 1940s and early 1950s, many older German cultural symbols had become taboo as they had either been appropriated by the Nazi's ('the fascists') or by West-Germany ('the imperialists'). It was hence impossible to for example make films about 19th century Germany, or in any other ways romanticise a common past on the big screen. The alternative to that were the so-called 'Indianerfilme' (indian-films), produced by among others the DEFA. These films were structured like regular Westerns, except that the protagonist was always an Indian instead of a cowboy. The cowboys in many ways represented western imperialism, whereas the Indians represented the populations oppressed by this imperialism. As such, the Indianerfilme had firmly anti-imperialist narratives, combined with high entertainment value due to their exotic settings. Thus, these films were tools of propaganda, as much as they were vehicles for escapism in the drearier years (1970s) of Socialism in the Arbeiter-und-Bauernstaat.

The best sources for this are the DEFA itself. For further reading into the dialectics of film and documentary I would recommend Bill Nichols (especially Representing Reality). For further reading into East Germany's struggles with its own identity I recommend reading Tony Judt's Postwar, Eric Hobsbawm's The Age of Extremes, and Anne Applebaum's The Crushing of Eastern Europe. If you're interested I'd be happy to give you a more comprehensive list of related articles later on.