They're effective because they rely on the power of suggestion. For example, 'The doorbell rang at 3 am. No one was there when I opened it.' It makes your mind fill in the blanks. You start to wonder who or what rang the bell and why they disappeared so quickly. It's that sense of the unknown that scares us.
The effectiveness of 'Shitty 2 Sentence Horror Stories' comes from their ability to create a quick shock. Consider 'The mirror showed a figure behind me. When I turned, nothing was there.' In just two sentences, it sets up a situation where our expectations are subverted. We expect to see something when we turn around, but the absence of anything is even more frightening. It plays on our natural fear of the supernatural and the unexpected, and the short format delivers this shock directly without any distractions.