Religion of Shia is based in particular events in history. This interpretation is later validated by re-interpretation of Quran and seerah
The concept of Imamat was produced aswell.
To keep this particular historical narrative alive and to keep this particular ideology meaningful, the, Shia scholars, started holding gatherings to remind people of the events. As with all history, more and more details were added to it. This movement gradually evolved into what we call Azadari.
The concept of hurting yourself because of some sin is age old and adopted by many many religions, dynasties, spiritual schools. Harakiri in Japan is a famous example.
I do not think we should tell any Shia to stop it. Because it’s been hundred of yrs of tradition and almost critical remarks have been answered by Shia scholars.
It’s better to talk to them about their historical narrative, the flaws in the concept of Imamat, the concept of Ghaib Imam and it’s sun concept Wilayat e Faqhee