It's the fear they don't feel, I think. In your average ghost or werewolf story, the protagonist is terrified, scrambling to survive. But when the main character is the monster, that anxiety gets flipped. The tension isn't about running away; it's about the moment they decide not to hold back. You're in their head as they weigh the cost of unleashing chaos, and that moral calculus, or lack of it, is hypnotic. They operate on a logic that's alien yet strangely consistent, and seeing the world through that distorted lens makes the familiar terrifying again.
Take 'Hannibal' Lecter. The horror isn't just what he does, but the elegant, cultured frame he puts it in. That contrast is everything. A demon protagonist who revels in carnage is one thing, but one who philosophizes about it while sipping a fine wine? That gets under your skin. You start questioning your own lines, wondering if charm and intellect can really coexist with such brutality, and that's a far more unsettling read than a simple slasher.