If I tell you a story about something that happened to me, you can question me directly about the details, and you can think I’m lying. It's harder to suspend your disbelief.
If I tell you a story about what a friend of mine told me happened to him, you can’t question the story directly, and you don’t doubt that I am telling you the truth about what I was told. I’m not lying. Once you believe that I’m not lying, it’s easier to then believe the story I’m telling you because you’ve already agreed to believe in something. It's easier to suspend your disbelief.
That’s why so many horror stories, especially novels, are stories within stories, Frankenstein being the prime example.
Studies (that can’t find references to at the moment) have shown that once you get someone to say “yes” to one thing, it’s easier to get them to say “yes” to another. Salesmen use that to their advantage all the time. They ask you a simple general question that you’re likely to say “yes” to first and then continue with their pitch.
It’s the same principle.