I don't think he means misery of life, more that the world is miserable.
It' not the way it should be and as a kid you see that just as clearly as when you are an adult and have to live in it.
People are unkind, the "good guys" like teachers, parents, cops, etc do bad things and aren't very nice, you get in trouble for being yourself, people are hungry when there's a ton of food there's war, etc.
Then there's the unfair stuff only a kid sees. We can't fly, there's no real superpowers, we can't just go fly around in space, there's no magic or wizards or unicorns.
So we decided to make our own world. One where everything makes sense in the end and everything is fair and right. Where the good guys only lose so it's that much more interesting when they win and where exploring a cave on Mars is as possible as going for a walk in the forest.
Not so much getting away from personal misery, more revising the world into a better iteration.
It's the same reason we watched professional wrestling back when it was colorful costumes and storylines, why we watched Darkwing Duck and why we played video games.
Just think of the world you want to live in and don't worry about a storyline. Story arcs and rivalries and friendships and betrayals and dramatic moments and tearful close moments aren't written. They *happen*.
So build your world and then see what happens. What they do when you aren't trying to make them do things.