In his commentary to the movie "Pan's Labyrinth", Del Toro expresses a key concept for making movies that feel fairy-tale like: the fairy tale is a simple story with simple characters. you can change one of the elements, but not both of them.
If we'll look at Pan's Labyrinth, the plot is complicated, with intervals of fantasy in the middle of reality, and with these 2 worlds colliding to each other. But the characters? They are really not that complicated. The Capitan an egocentric person whose love for control and order is unquestioned (as can be seen by his work on his clock). Ophelia's mother is a pregnant woman, who is in love with the Capitan, and who surrenders to whatever he says. The Dr. and the maid are double agents, who are not brave enough to join the rebels, but that's as far as they are complicated. The illusion of complexity is broken once one looks into the film.
At the other end of the spectrum, is the movie Spirited Away, a movie that although I didn't like it, I truly appreciate. The plot is pretty straight forward, with a girl trying to save her parents, but the characters are full of eternal conflicts, of metaphors, of allegories. All the characters in this movie are not as simple as seen at first sight, and even the evil ones are not as evil as they seemed.
In both movies, there is a strong feel of a fairy tale story. True, there are other elements there that make and/or help to enhance the theme, but this concept is one of the stronger and more important ones.
In RPGs like Changeling, this little thing can do magic. The stories in Changeling (or in Grimm, or the like) resemble and are closely related to fairy tales. While Changeling goes back to the original uncensored ones, and Grimm to the twists on them, keeping the idea and the feel of the fairy tale is a need in this kind of games.
Because usually, one gets to these games when they are more advanced as players and GMs, the characters will be much more rounded and much less flat usually. That means that the GM has to shift the focus from the plot to the characters, and that his/hers NPCs must be more developed and also, must resemble the concepts that the players want to explore in their characters.