The brilliant thing about a conspiracy belief is that holding it usually has no cost to the holder (other than perhaps being told not to be so silly).
For example, if you believe that the moon landings were faked, or even that the earth is flat, this will have no practical consequences for you. You can still go on holiday to Spain, because fortunately for you the pilot flying the plane doesn't believe that they can calculate the distance better than using a great circle model, or that general relativity — which is involved in making GPS work — isn't real.
Ditto with JFK or Diana — there are no stakes involved in being wrong about their deaths. Even if Madeleine McCann turns up alive tomorrow, the absolute worst that will happen to the people claiming that her parents were responsible for her death is that their friends might take the piss a bit. (And of course there would be a million people ready to believe that it wasn't really her, and that her so-called reappearance was "very conveniently timed to distracted us from the inflation figures".)
So the appeal is obvious. You get to appear to be interesting, to know something that other people don't. You're no fool, you've done your research (by which you mean that you've watched other conspiracy fans on YouTube — not that you've actually gone and gathered any primary data, or learned how trigonometry works, or anything actually demanding like that). And if anyone points out a part of the story that doesn't fit, there's now a whole support network on hand to come up with a plausible-sounding excuse. That might not convince the sceptic, but it doesn't have to. It only has to convince you that you are right, to keep the warm feeling going.
The problem is that the casualty of all this is truth in general. You end up being an assistant in Steve Bannon's plan to "flood the field with shit". You become a useful idiot in the undermining of the actual truth by the genuinely bad actors of the world.