My son, who is not, at this point at least, anything resembling depressed, writes quite of bit of work that could only be described as "dark", and has for years. Every now and again, he'll also write hysterically funny humor (mostly parody and satire), but it's relatively rare in comparison.
Gifted people often feel things intensely - pain, fear, joy, love, disgust, pleasure - and finding ways to cope with this can be tricky. Lots of gifted kids are much more aware than age peers of "dark" realities, such as mortality, pain and suffering. Writing is one way of containing, controlling, and mastering feelings.
Stephen King describes running his subconscious through a sieve, and taking all the foul, disgusting, horrifying bits and putting them into his books, and pouring the clean, pure, pleasant stuff back into his brain.
Your daughter says that she likes dark themes because they are more powerful. I think that it is probably true that they are very reliable ways of eliciting strong emotions in readers, in part because many more people agree on broad categories of imagery that they find strongly disturbing or unpleasant then agree on broad categories of imagery that they find intensely pleasant or appealing. If your goal in writing is to elicit an intense emotional response in your readers, horror is by far the easiest way to go, and you can get a strong response without having to have really honed your use of language to a high degree. (She apparently got a big enough response from her teacher and from you that you are posting here asking about it...)
Does she show any other signs of being depressed or anxious or having disturbing thoughts that are beyond the usual gifted "intense awareness of big issues" kind of thoughts? If so, then those signs are certainly worth checking out - but I wouldn't automatically assume that an interest in dark themes automatically meant that you would need to be deeply concerned about her mental health.
