Pinning a tail on a donkey is a children's game and is not the re-enactmnet of something appalling that happened in real life.
An effigy is a representation of a person and, in Guy Fawkes' case, it was a real person. Although I can remember making guys when I was a child, once I understood what it represented, I thought it was horrible. In my opinion, it's in the same category as the sort of gory and sadistic representations that are seen at Halloween, which I also find very unpleasant.
I think I have a reasonably good sense of humour but I don't find the idea of burning someone - however vile I might think they are - amusing.