We have roaming monsters ala dragons, manticores, ursas and cockatrices. Everypony is under no illusions as to how dangerous these creatures are and seem to fear them appropriately. Further, the sight of a pony killing a wild animal (Fluttershy "fighting" the bear) didn't faze Twi, she was more astonished that FS had found courage rather than anything else (remember she didn't see the afterwards).
The concept of Civil war is not foreign to them either, as noted by the formation of Equestria and as suggested by Twi herself in the recent episode. Added to which there is almost definitely a good reason that nopony ventures far into the everfree forest, and the need to have a military presence (The Equestrian Guard).
There is definitely an underlying darker side to this world, and given the potential we've already seen for destruction, death and evil magic, I would not be at all surprised to learn of the existance of Hell given the casual reference to Tartarus and the appearance of Cerberus himself. Even if, as you say, none of these things are ever directly referenced.