They often break the norms of what is considered 'normal' in the story's world. This deviation from the ordinary creates a sense of unease and fascination. Like a character that can control minds in a world where such powers are not common. It makes them stand out and be both feared and interesting.
Horror characters in light novels can also be appealing because they allow readers to experience fear in a safe way. Through reading about their actions and the events they cause, readers can get that adrenaline rush of being scared without actually being in danger. Also, their complex personalities and backstories add depth. A character who was once a victim but has now become a horror - inducing entity has a story that readers can explore and empathize with on some level.