There is a moment in book 1 that suggests an antagonist is thinking about / is threatening S.A., but it's not in great detail and it doesn't get carried out.
Obviously it's a book so there isn't actual noise, but there are entire pages in the book filled with single words to indicate very sudden very loud explosions.
The child main character is abused physically by an adult character in the first book, and is also tortured and beat by other characters in books 2 and 3.
Final book, a horse dies not from anything gory or brutal, but just from pushing so hard during a critical situation. Sort of a self-sacrifice situation.
If you choose to view the planets native inhabitants as animals then yes they get treated in a very Holocaust manner. I'd argue that they're not animals in the way that we commonly think of animals though, but yeah, it's fairly brutal.
Most active torture is in book 2. The Spackle / The Land get tortured in a very concentration camp type of way. Human women all get infectious bands stuck on their arms suggesting they're being "reduced" to Spackle level. And as the other comment mentions, the villainous group referred to as "The Ask" torture people for information. If my memory serves me I think they do a water boarding sort of thing.
Book 1 there isn't a lot of detail about how it goes down, but yes, we're informed that one of the protagonists guardians is murdered. Both his birth parents are already dead as part of the given circumstances.
The other protagonist also has already dead parents and we know they died from a crash landing. If you read one of the anniversary prequel mini books, it goes into much greater detail about that.
There are a few instances of harm technically caused to ones self, but I'd argue it's not really self-harm the way you think of it when you hear the term self-harm. It's not a recurring circumstance and it never has anything to do with personal or internal struggle. All instances I can remember are more so sacrifices made for war efforts and none are described in a particularly graphic manner.
It ends with a main character mostly dead, though there is a note of hope that if the other continues calling to them, they'll return. It is revealed in a short story that the main character comes back.