It’s all about atmosphere. The first games you mentioned aren’t scary because their atmosphere is lighthearted. Exciting music, bright colors, the art styles are relatively fun and even cute in some, and the stakes are low. The three games, on the other hand, have drastically different atmospheres. Dark, dingy, scary sound design, little to no music, etc. Think about it, walking through a church during the day is not usually scary, in fact some people find it comforting. Walking through a church at night, in contrast, can be quite terrifying. Understanding what design choices produce in the game design phase is super important when creating the atmosphere of said game!
It's an engaging story, you have to be invested in the story and the protagonist, good atmosphere and a subtle scary ambience soundtrack, limiting the players actions somewhat, such as having a lot of darkness where you can't see, not allowing the player to understand the games systems because once the player understands the monster despawns when the music stops, it's over, as long as all of these aren't made to feel unfair Basicly people are way more scared of their own imagination than anything a designer could ever make, so I'd say the secret is to be "suggestive", to allow the player to scare himself with his own expectations and fear of the unknown, people are scared of what they don't understand, of the unexpected, uncannyness, of a violation of established rules, such as your reliable lantern suddenly bot working
