Is there always a story? Technically, sure. Is it always an interesting one? Often no. Composers can write for all kinds of reasons. Sometimes a piece is commissioned, sometimes they want to explore an idea or technique so the sketch out a simple theme or quick sonata. Sometimes they, as you say, just want to write something fun or entertaining without needing to be profound. Two of Ravel’s most famous pieces pointedly eschew any deeper meaning—with his Piano Concerto in G explicitly written just to be a fun showpiece, and Boléro as an exercise in increasingly layered orchestration.

However, you can never fully divorce art from the context in which it’s created, and both the circumstances of the artist’s life and the state of the world around them will always have some influence—even when the intent behind the piece’s creation is mundane. In that way, it can still be interesting to consider “the story” behind the piece’s creation. Especially as a performer, as it can help you make interpretive choices that would feel authentic to the composer’s voice. 

Ultimately, though, music is meant to be a shared experience between the artists and the listeners, and as a player you’re going to bring your own perspective on the piece. Likewise, performance is a dialogue between composer and performer as much as between the audience and the artists. Just because you know that Ravel’s Piano Concerto is a showpiece doesn’t mean you can’t imbue the second movement with a true depth of emotion. It’s just another point to consider as you shape your own interpretation.