Man, I read Martyrs a completely different way. In fact, I don't think the whole "what Anna saw" part was even important.
For me, it was about our society, where the ultra-rich have nothing at all to fear or worry about...except what happens after they die. In order to find out this answer, they are willing to viciously and systematically torture innocents (all young girls) just to know.
I think that's a pretty scathing attack on the selfish nature of modern society and the pursuit of wealth and power above all else, including basic empathy for other human beings. I've also had friends who were abused say that the film's depiction of abuse - something that NEVER goes away and always lurks in the back of your mind - was really affecting.
So the end with Mademoiselle finding out what Anna saw is not meant to be the point of it, it's just to show the Bad Guys don't win. In this game, in this society, playing by these rules - everyone loses.
To me, that depth put Martyrs above Haute Tension, Inside and Frontiere(s) (all of which I enjoyed), which were three films that offered great thrills...but only very superficial thrills.