There's a good question.
Speaking for myself, I read for escape, for entertainment, and for that HEA. Yes, I will freely admit that I enjoy a happy ending. So often in life we deal with heartache, loss and pain. It helps to escape into a good story from time to time. It takes your mind off your current woes and takes you into someone else's problem, then offers you a happy resolution to those woes.
Romance novels, among all other fiction, will always have a happy ending. If they didn't, they wouldn't be romance. They might be romantic stories, but unless that HEA is there, they are not romance novels.
I also enjoy mystery, science fiction, fantasy, and suspense novels outside the romance genre. Do I expect them to have a HEA? Not necessarily. Do I mind if they do have one? Not in the least. It won't stop me from reading certain authors or series novels, but I have certain expectations from certain authors or types of books, and I do want those expectations met.
That's why I enjoy reading romance novels, because I know what to expect. I know they will end well for both the hero and the heroine. I know that they will ovecome the issues in their lives and have that happy ending.