They can be very impactful. Firstly, they make the audience feel a sense of fear that is more real because it's based on something that actually happened. For example, 'Zodiac' made people in San Francisco area remember the real - life events and be more cautious. Secondly, they can also make the audience more aware of the criminal mind. In 'Mindhunter', the exploration of serial killers' minds gives the audience insights into how such people think. Thirdly, they can create a sense of empathy in some cases. Like in 'Monster', we might not approve of Aileen Wuornos' actions, but we can understand some of the circumstances that led her to it.
These types of thrillers can have a profound impact on the audience. They can change the way we view the world around us. After watching 'The Snowtown Murders', we might be more aware of the hidden evils that can exist in a seemingly normal community. They can also make us question the justice system. In the case of 'All Good Things', the mystery around Kathleen Durst's disappearance makes us wonder if the justice system is doing enough to solve such cases. And, they can be a form of catharsis for some. By experiencing the fear and mystery in a fictionalized version of a true story, like in 'Don't Breathe', we can relieve some of our own anxieties in a safe way.