This is a sexist question, because plenty of men bring sadness, shame, death, etc. into the families (when it otherwise wouldn't have been something nobody could do anything about).
I'd venture to say that (at least with what a lot of people in the general public know) Mrs. Kennedy wasn't the one brought a whole lot of that negative stuff into her family.
With what the public generally knows about Diana, she was living recklessly, dating seedy/questionable people (money isn't always the measure of who is seedy and who isn't), and riding in cars that had drivers who'd been drinking.
People like Elizabeth Taylor, Michael Jackson, Elvis Presley, Judy Garland, Marilyn Monroe, and on and on on (women AND men): were in some cases child (or teen) stars who hadn't had the best foundation. Others were people who had everyone telling them what they wanted to hear ("baloney" lines, like they were one thing or another that they really weren't), or else people telling them they didn't measure up. They also had the money that would draw all kinds of creeps and misfits into their lives, and when something went wrong they had to live out their humiliations in the public eye (not easy to do). (A "certain" male TV star in the news as of this writing comes to mind.)
A lot of them start out a little messed up as kids (or at least not emotionally well adjusted) and end up being swept into circles where everything is phony and/or not the "mentally healthiest" thing for anyone; and they don't have what it takes to withstand all that. In other words, a lot of them start out as victims of their own beginnings. The fact that some of the their judgment brings on some negative stuff doesn't change the other fact that a lot of them were essentially victims, themselves, in one way or another.
Either way, I find it offensive that this question implies 1) that only women have this happen, 2) that all these people bring everything on themselves, and 3) that all women are like the women mentioned in the question.