In theory at least, we go to movies for the same reason we attend sermons--to find illumination. But illumination doesn't come from someone preaching at us--it comes from our own working through of our experience, and this best happens when (as you say) a script or a sermon asks questions rather than provides answers.

According to quoteinvestigator, this is the origin of the famous Samuel Goldwyn quote about Western Union:

“Mr. Goldwyn,” [a screenwriter] said, “this is a wonderful opportunity to point out labor’s battle against capitalism. You have a chance here to bring a great message to the people.”

Goldwyn looked at him. “Messages, messages,” he said. “From Western Union you get messages. From me you get pictures.”