Part of the 'gritty' reputation Skyrim has comes from its main NPCs and guilds being very grey, but in a different way than Morrowind or Oblivion.
Morrowind had a legitimately 'moral' way to handle most quests. The guilds and NPCs were a mix; some were cynically trying to get ahead, some were aloof, some were trying to behave as morally as possible while recognizing that they would have to break the law, and some were trying to be moral and legal. One could minimize violence, fight corruption and slavery (even in House Telvanni!), bring people together, yada yada yada. In Oblivion, things were black and white enough that your character could do unmitigated good if they chose. You could save people's lives and fix their problems without second-guessing your actions.
In Skyrim, though, it seems very hard to play an 'objectively*' good character. Every action has some unforeseen dark consequence. Both sides of the Civil War are tainted in some way, you have to choose between the Blades and the Greybeards during the main quest, etc...
I don't think that makes Skyrim more mature. It makes things a little less believable when every choice is grey; there should be times when you must choose between a [censored] and a turd sandwich, yes, but there should also be times when you can have a lasting positive effect on the world.
P.S. Breaking Bad was mature as balls. The grittiness and swearing didn't make it that way; the portrayal of a good man's slow descent into reckless evil did. The idea that life can twist us into stranger shapes than we can predict, and that we are simultaneously at the mercy of and responsible for our situations is a tough pill to swallow.
Let's be real, Adventure Time is very mature (and very amazing), but the things that make it mature cannot in any way be considered escapist. Emotional maturity doesn't mean everybody is enraged or depressed all of the time, but it does mean that both the good and the bad parts of human existence are reckoned with and put into a context that better helps us to live fuller lives.
There is a way for art to immaturely engage in mature themes, which is why most video game six is godawful. Killing without consequence is not mature. Boob plate armour is not mature. It's been mentioned before that angsty clown assassins are not mature. Real killers would probably become emotionally detached from their work (or, more realistically, they would start out that way).
*I think everybody can guess what I mean when I use that word