I think that's more down to the writers' choice of expression than the genre. Penny Dreadful is in a setting of traditional monster horror, which is closer to fantasy than scifi, and it addressed the theme of depression through allegory. Horror has been doing this for a long time, actually. Real world ancient mythology has allegories for many things, and is arguably the original source of modern fantasy (it inspired works like Middle Earth, Conan, D&D, etc).
I don't really consider horror to be fantasy but I'm not sure I want to go down that particular rabbit hole. But, yeah, mythology is rife with stories designed to teach us a lesson or represent something to the audience. I just don't think most modern fantasy writers do that as much as science fiction writers do.