Instant unsettling feeling creation 101
If you'd like to make a viewer feel like something very bad happened, show something that appears empty or abandoned and make the viewer think of kids - often with a certain (and very overused) giggling sound effect. Toys are very effective too - particularly these dolls because they have a habit of being unsettling on their own anyway.
There's actually a name for this too - pediophobia - a fear of dolls. It exists because they resemble people, but aren't quite triggering all the signals that say "Yes - I'm absolutely looking at a person". This confused "So if it's not a human, what am I actually looking at?" response is called the uncanny valley.
What makes the combination unsettling?
You're getting signals of abandonment and of vulnerable people (a child). They combine to create the concept that a vulnerable person was abandoned.
Something very bad must've happened to cause that
It's the same eerie feeling that shows up in empty or decaying schools/ hospitals/ playgrounds etc.
As a side note, if you've never noticed that sound effect before, you'll notice it everywhere now. Sorry about that.