I suspect I will be in the minority on this, but the horror stuff just doesn't work and it has nothing to do with the talent of the person performing the character.
At the end of the day, WWE is still a wrestling show, and no matter how well the horror stuff is received by the live crowd, no matter who the group ends up beat down - even if its Cody Rhodes, CM Punk, Roman Reigns, The Rock - eventually one or all of them have to get in the wrestling ring and actually wrestle like everybody else and that just kills the whole thing dead immediately.
That's why all of Bray Wyatt's post swampbilly cult leader stuff - The Fiend, the Firefly Funhouse stuff, the most recent version of Bray before he tragically died - all were super creative and unique characters that were being performed by a supremely talented person, never actually worked. It was an incredible character when it was only being shown in vignette form, but once he actually had to wrestle, it was the drizzling shits. And it's not because Bray can't work, because he was a perfectly acceptable worker as swamp boy Bray.
Jason Vorhees doesn't fucking take armdrags in the Friday the 13th movies, ya know? He shows up briefly, kills people really fast and then eventually gets killed quickly at the very end.
The only way to do this sort of horror stuff effectively is for them to A. literally never wrestle or B. only do cinematic matches and I don't think either one of those things are on the table.