I see what you mean. But, for me, I think it's a little different because I have mental illnesses so I can relate to the main characters in the games in some ways. For example, not being able to leave the house often, or difficulties straying too far from my room, and also sleeping a lot and dreaming of so many different places. I guess I really identified with the games in that aspect, but what's scary for me are the suicidal areas. For example, the end of Yume Nikki. I'm still not sure I want to finish the shirt I starting making because I don't want to end up like her, I don't want to end up losing my abilities, who I am, and then killing myself. Though, that only happens if the player chooses to end the game, so is it really so bad? I don't know, it's all so confusing. .flow was scary because no matter what, in the end, Sabitsuki is still sick, she doesn't get better. I think that's why I liked 2kki so much, because there were different endings, and the one I got first was the best one; she wakes up, she cleans up the room, and best of all, she leaves her room and ventures outside.
I guess the games have been more personal for me so they've affected me on a deeper level. Maybe that's why some of the things are so scary.