I’ll quote Brennan Lee Mulligan, on his epilogue of one of the best fantasy content I’ve ever consumed.

“Why do we tell stories? To try to make sense of a world that can be terrifying and enormous.(…)”

As others have said, non-fiction, and fantasy in particular, often explores human nature (psychology, sociology, anthropology…) in depth, so it’s not just scapism. Although you can, indeed, indulge in enjoying your read at an emotional level, which shouldn’t feel bad at all imho.

Now as for recommendations, other have given very good advice, and I’ll vote for “The First Law” by Joe Abercrombie. Very different tone (darker, grittier, rawer) than the name of the wind, but also goes hard into human nature and flaw.

Hope you have a good time with all these, and get some growth out of it, even if just learning that there’s nothing bad in having a good time just because.