I am perfectly UN-qualified as a psychologist, but I personally think it has something to do with subliminally perceived danger. People sense the puppeteer is masking his activities behind the puppet. The puppet is there to distract while the puppeteer is working some other adgenda behind the scenes. It could be something as simple as a fear of being manipulated into looking foolish by relating to a toy that causes them to react negatively.
Or it could be an innate unwillingness to relate to a surrogate. They KNOW the puppeteer is the one doing the show and they refuse to accept what they know is not possible... that the puppet is actually the one performing. That refusal can take the form of anger (Who do you think you're fooling? I think that might be the impetus behind the child who, when faced with a puppet within reach, will attempt to harm it. A sign of an overbearing ego developing) or fear (You're a freak, trying to talk to me with a doll. Sane people don't do that). People's willingness to suspend dis-belief manifests in such a HUGE array that it's impossible to categorize.
I know a person who just doesn't believe in fantasy films. She refuses to suspend disbelief and simply enjoy the tale. That's her choice. But she'll bawl her eyes out at a touching romantic comedy that is just as patently absurd as Lord Of The Rings. So there's some kind of sliding scale of suspension there.
Me, on the other hand... I can't get into ghost movies. I absolutely do not believe in the supernatural (or pop culture's current incarnation of it) and that translates into an inability to enjoy movies like The Ring. I don't find them creepy or scary at all. Same goes for vampire movies, etc. Movies about wicked real people who are twisted and insane and go about harming other people in wicked and insane fashions... now THAT creeps me out. Just about had to leave the theatre during Silence Of The Lambs.
-Gordon