I vaguely remember a dev commentary or interview about Amnesia.
If I remember right, one thing they said was close to what you said about "you do not want to show the monster" -- but changed to "you do not want to show what happens when the monster gets you".
If the player dies, you either have a gamey consequence (you are set back a long way, you lose resources), or nearly no consequence (you restart quite close to where you died with the same resources). Either way though, the player's fear of this monster is now based on that game mechanic, and could be better described as annoyance than fear. You've lost the visceral suspension of disbelief where on some lizard-brain level the player still thinks "this thing is going to GET me".
So it leads to kind of an ironic balance where the devs are trying to come up with things that are very effective at scaring the player while not really being that difficult to evade for a reasonably competent player. Their ideal is for the player to get through the whole game always feeling like they're in danger and just barely surviving, but never actually dying.
Again, wish I could actually find the source, because it's been years, but the idea stuck with me. I want to say they gave an example of some trick they pulled on the memorable "water monster" level, to amp up the terror while not actually increasing the player's chances of failing. Maybe something like the water monster moves slower while you're looking away from it, so when you hear it behind you while you're turning a crank you think it's about to get you but you actually have enough time to succeed. I don't remember.