OK, I actually think Jim Henson already addressed this...
You know how at the beginning of Labyrinth, Sarah spends all her time cos playing alone, refusing to interact with her little brother and, we're told, never really has play dates outside the house? Basically, she's royally pi**ed off anytime her fantasies are interrupted with real life. It's only when her little brother is actually put in danger that she realizes her priorities were way out of whack.
At the end of the movie (Um, spoilers!)...
...that Sarah realizes that to a certain extent she has to move on from her childhood fantasies (thus giving her beloved teddy bear to Toby), and start living a fuller life. But as we see, she doesn't have to give up her fantasies completely. Every now and again in her life, she will always need them.
The most obnoxious fans are the ones who never learn the lessons of Labyrinth.