Because as you say, fantasy worlds tend to be rather more violent and rather less comfortable than the modern Western world, even if most aren't as bad in that regard as Erikson's. One would imagine that, in many cases, the attraction is in reading about a world where things are morally simple, the good guys are good and the bad are bad. Of course, that doesn't apply either in Erikson. So I suppose in his case we'll have to attribute his success to the sheer "epic-ness" of the series, and the puzzling out that the readers have to do to figure out things - in that regard the series is more intellectual than most "epic fantasy", and even someone like Larry mostly likes it. It can indeed be fun to suddenly start seeing a pattern or finally discover an explanation you've been wondering about for a while, with the satisfaction of having it worked out for yourself instead of being told directly.

So, yeah, escapist it may be, but it's neither brainless (as in, reading you don't have to use your brain for much, as many people seem to like) nor utopian or fluffy.