This joke was totally stolen from a movie, though I can't remember which one. I'm sure the situation was something like this, where someone simply hadn't realized the full extent of the situation and didn't feel bad about it until someone else described the situation to him. I suppose ignorance is bliss.
Of course, if that's true, Mega Man and Bass must be very content.
Anyway, this is similar to the idea that as long as you don't know how bad things really are, you'll be fine. Have you ever been playing a game and you pass a level fairly easily, only to find out later that it's supposed to be really difficult, but since you didn't know that, you didn't have a problem with it? And once you find out, you find it extremely difficult to do the level again? That's more or less what we're talking about here. Simply put, if you were to ever find out how bad things really are, you wouldn't be able to handle it.
Oh, and you never know actually how bad things really are.