Horror stories play on our anxieties and delusions. Horror stories can lead us to confront them, explore them and grow past them. They can also lead us into further anxiety and delusion. I think it depends on the person and how they go about engaging the stories in the first place.
For example...
We have a lot of conflict about death. On the one hand, we all grieve when we lost someone we've loved. On the other hand, we also often benefit when our loved ones die -- not just from their estates, but the death of a loved one raises our social status, frees us from compromise and demand. Moreover, deaths around us make us feel victorious, like survivors. We acknowledge our grief but we're afraid to acknowledge our relief and our triumph that death happened to someone else and not ourselves.
Every culture fears that the dead will somehow come back to haunt us -- to torment us with their renewed demands, to claim back whatever of theirs we've appropriated, to remind us of our mortality, to turn our survivor's triumph to ash. What is that fear but our anxiety at our own mortality, our survivor's guilt, our shame at our secret triumphs and disloyalty to the dead?
A ghost story can lead us to confront those things, make sense of them, accept them. It can terrify us with our own hidden anxieties then lead us to sanity. Or it can present us with a salutory lesson that we should not confront those things. That even facing them courts the very disasters we fear.
What's the difference? Some of it's is in the story-crafting itself, I think. Some of it too is in the honesty and courage of the audience.
So why a horror format? Why not fantasy instead, say? Horror tries to explore worst-case scenarios around our anxieties and delusions. In horror, crises occur whenever we touch bottom and realise that it doesn't get worse than this. Catharsis occurs when we realise that that was survivable; it wasn't so bad after all. At that point we may exit with insights and new-found strengths of mind and character. Or we might simply exit with all those fears and delusions back in their bottle, secretly relieved that it happened to someone else, and not to ourselves.