If you're curious like the Murkles are and want to learn exactly what happened to the sun in The Midnight Walk, then you best keep your eye out for the 15 Story Pages.
Here are all the Story Page locations in The Midnight Walk.
This guide is separated by chapter with images shown in chronological order, based on a single playthrough. You can jump to the start of any chapter from the main menu. Although this will overwrite your current progress, you should do this when you've completed the game, or look at this guide when you're at the start of your first playthrough.
There aren't any spoilers. Visit Housy in the main menu to look at your collectibles and learn the full plot of The Midnight Walk. The story is called "Who Took The Sun Away?" and has 15 film reels. There are no Story Pages in The Tale of the Dark chapter.