Hmm. I think that sad music generally comforts, as long as it's good, so the comfort comes from the artistic quality (which, to be somewhat high-flying, reaffirms one's belief in humanity and the fact that all sorts of wonderful things have been created and are being created), making the emotional content somewhat secondary.
I'd love to hear more of your thoughts on this primal strangeness, though. I do agree that music is somewhat strange, as an art form: it is entirely abstract (as long as it's instrumental), yet it's quite universal and tends to evoke emotions in just about anyone who's not completely numb. Apparently the fifth, as an interval, is something that the human ear finds very pleasing no matter which culture you happen to live in. Which probably goes some way to explaining why the diminished fifth is so often used in heavy metal and other assorted genres to evoke evil or nasty or whatever: that particular dissonance, being so close to the perfect fifth, is the best vehicle for signaling something malicious.
Here's an extremely good example of a sad song that comforts -- at least in my view. This is one of Peter Gabriel's best achievements. The instrumentation is really quite peculiar, but it works wonderfully well.