Until there’s an actual convincing alternative, that indeed is not as apparent as you make it out to be, that would be pretty terrible for a lot of physics.
The gravitational discrepancies we have already, but without an explanation or observation, they’re not very satisfactory.
If the nightmare scenario is true, there would finally be a counterexample to this.
We can't observe anything "directly", other than the contents of our own minds. The "gravitational discrepancies" are an observation.
It seems to me (non-physicist, non-cosmologist) that DM proponents can't tell us what DM is, despite being able to observe it. The article's "nightmare" is that it might turn out to be impossible to do that in principle. To my mind, that would indeed be a nightmare; we would have to accept that there are limits to what we can learn about the Universe. I don't believe we have encountered any such limits before.
A lot of people complain about DM being fuzzy, and that’s exactly why: we only have indirect evidence. So what everyone wants is a direct measurement of DM, for example a particle signal if DM is a WIMP.
And to your last point: that’s exactly it, the thought of an unknowable thing in the universe is terrifying, frankly. And this has nothing to do with wanting to be right, whatever DM is, I just want to know, even if it’s fancy MOND without defects somehow, or MACHOs.