I think helplessness is be a key component of horror, and gaming is all about player choice. Computer games can be nasty in terms of putting the character in nasty situations, because you can reload. RPGs require a more delicate touch because if you railroad a player or drop them in to a nasty unwinnable situation then it will detach the player.
So an RPG session needs to put the players in a dangerous situation, but either has to rely on only doing that if they make bad choices - which feels punishing for a recreational activity - or needs to always give them an out. Whereas any other horror fiction can have a single character or the entire group doomed from the start. Obviously if you can get players to buy in to the story, cool, but I doubt many want to have their ultimate choices negated right from the start.
Cthulhu manages to have it realised that monsters are simply beyond most people's ability to deal with them, and with the sanity mechanic has a method of slowly robbing a player of options in a controlled and agreed way. So a player can still be given the option for survival, while there is something valuable on the line to be slowly robbed in arbitrary ways
Still, even when a horror can get player buy in well, I think part of that is through metagame concerns, and it's hard for those to translate to listening to them. Amnd as said before, players can also seek to ease tensions with jokes, etc. Which is fine if they still have real concerns for their character underneath, but to listen to it does rob atmosphere to an external listener (or of course a player not under threat yet).
Interesting about predator, I suppose in a way it is a horror film mascquerading as an action film. The only trouble is that the action parts disguise it too well at the start, and at the end the horrific mystery resolves itself in to an understandable and beatable entity. The predator is simply a big game hunter and alien. And vulnerable. While tough to beat, it is beatable, but worse is very understandable and actual size. Indeed, it is so relateable we can recognise the 'code of honour; or idea of a challange when the predator strips the weapons off.
Consider The Thing, where the alien can actually speak and interact with the group for the bulk of the time. It manages to be truly horrific by becoming unimaginably grotesque and twisted on the reveal, and being something that you cannot communicate with nor bargain with nor understand the true purpose of when revealed. It is a death that is very difficult to avoid. Indeed, the film ends - even with the heros 'winning' - with the unsettling fear that they haven't. Simply because the entity is not easy to quantify, identify, and relate to. The predator is either dead or not dead