I mean, in fairness, Luna herself has been Nightmare Moon for Nightmare Night, they huddled together on her initial return, and if you're counting the first ~~(that is to say, the best)~~ comics arc, Chrysalis kidnapped the CMC... and she pretty much said to their faces she was planning on disposing of them, and killed someone in front of them, and aside from that they realistically should've witnessed that Canterlot Invasion, closeup, as the Flower Fillies, and I'd be sure they themselves would
Perhaps you could, alternatively, see it as a way of owning their fears.
...also, in case you didn't know, this is actually fanfiction art for a [horror fic](https://www.fimfiction.net/story/464418/ghosts-in-the-graveyard) (which has a [dramatic reading too](https://www.youtube.com/watch?v=UmwJq0Oo0L4), linked at the DA source). Diamond Tiara isn't offended, she's more meant to be nervous/unsure about this game.