I guess it's just conditioning. For so many years we have heard sad songs with melodies played down and sad sad lyrics. We've heard happy upbeat songs and we're told they are happy. I wonder if you found someone who had never had any contact with music before (or civilisation for that matter) and played him a melancholic track, would he have the same feelings to it? Or would his feelings be ones of awe and blissful amazemnet at this new discovery?
It's like the weather, we are conditioned to believe that sunny and hot = a nice day and that overcast or rain = a bad day. This can also really affect people's moods. It's odd don't you think?