There is an interplay between rules and settings and scenarios that's been on my mind lately. It's not an issue with strongly themed game systems that are closely aligned to their default setting and play style, but D&D-type games are ciphers, reflective mirrors, blank pages on which to scribe a unique vision, and it's fair to ask the question - what is your particular game really about?
I'm coming at this somewhat stream of conscious and still organizing my thoughts, so perhaps another tact is in order: Consider the D&D retroclone system, ACKS - Adventurer Conqueror King. Part of the unique niche ACKS has carved out in the fantasy space is having top-to-bottom balanced economics, domain management, trade rules, and costs for armies and kingdoms. A Dungeon Master that puts all that time and effort into detailing those particular characteristics for the baronies and kingdoms in their sandbox game clearly feels the information is important and relevant. A player there should assume that as their characters move into the mid and high levels, they'll be expected to gain land, deal with economics and domain management, and build armies. The NPCs will be coming for them with armies of their own!
The converse is the DM that spends all their time writing intricate dungeons, and barely spares a page of notes for the home base, the surrounding countryside, or the politics outside of the dungeon. Better be prepared for week after week of dungeon crawling, in that kind of campaign.
Horror adventures are usually deep on detail and atmosphere. They tend to have intricate back stories leading to a big reveal. They are the opposite of the sparsely described (but vast) dungeon. In fact - that's another kind of test to consider for your writing style - are the adventures broad horizontally, meaning the DM has created a large adventure, sparsely detailed, or are they vertical; a narrow scope, but deeply detailed with multiple layers of secrets centered around a small area? And how do these choices reflect the default activity you expect of the players?
It seems to me there's some kind of rule around writing that should help inform the discussion, but I'm not remembering it. Not quite Chekhov's gun, but something along the lines of it - such as, why would you do a conventional story in an oddball setting, unless the sci fi or fantasy elements were critical to the telling?
I'm sure someone out there reading this is a writer, and they'll be able to express this as a well-known principle.
Common wisdom amongst DM's and game masters is to only prepare what you need. That's good, useful advice. However, let's take it a step further, and only prepare what your game is about. Perhaps that's already implied, but the idea is to force an additional layer of self-reflection and answer the question, what is your game about, anyway? Is it dungeon crawling? Then ask yourself what is the bare minimum in terms of a setting you can get away with to make the best framework for dungeon crawling, and spend the rest of your time on making fantastic dungeons.
I tend to think this is why I dislike the Sword & Planet genre; I'd rather focus my time on things like interesting adventures, and skip all the parts about creating (and then narrating) alien cultures and why they do things differently there.
How does this apply to a horror themed fantasy game? It pushes you towards a real world setting more often than not. Using a pseudo-historical setting means that no energy is diverted towards setting, when the dictates of the genre already require a huge outlay of effort creating the detailed mysteries. The real world offers everything you need for backstory and all your creative work can go into the horror side of things.
Of course, the bit that cooks my brain here on a lazy Saturday afternoon is this: the answer to the question, "what is your game about", has a tendency to change over the course of a campaign, doesn't it?