headcanon: Due to her being a physical manifestation of Wren's months torment, she is not a dumb and gullible annoying person, but rather a living haunting memory of trauma that haunts Meggy wherever she goes.
During one of the final few episodes of the series, most notably one of the final three, Ken finally loses his all of his sanity and goes feral killer mode, hunting down mel after having ultimately snapped under the pressure of the prophecy, shifting from a calculated mob boss into a feral, unhinged threat hunting down his own daughter. Now Mel has to bring him back to his senses by any means possible, even if it means eventually abandoning her purpose.
How did Meggy recover from her depression from guns and puzzles so quickly?!
Meggy took the most out of all of them, especially mario.
Here's a hint: Never got Therapy.
For Context: After Tari, Meggy, and the others escape and Oneshot Wren accepts his demise, Tari orders Mario and friends to immediately rush Meggy to the hospital after her month-long torment. Once there, Heavy Doctor couldn't believe the results that Meggy has endured, saying that it is the most severe and unrecoverable post traumatic disorder anyone has ever gotten. Meggy, still deeply heartbroken and shattered by the harsh truth of her beloved childhood hero, hugs Tari tightly and sobs uncontrollably after all the torture and nightmares she just went through for the entire month. Tari calmly hugs her back and reassures her that everything will be okay, as long as they have each other. Mario and the rest of the crew calmly hug the two as Meggy still sobs and Tari calmly says to her that everything is going to be okay as the camera pans to the hospital window outside the room before panning to the sun and the sky going white. Cut to a few days later, and the rest is history.