I want to say I don’t understand why writers write this kind of stuff, but I’m a writer who has written some pretty uncomfortable stuff, so I do understand. I just have a low tolerance for it in film, in particular, I guess because it feels more “real” to see images and hear sounds. I think I miss out on a lot of good movies due to my sensitivity.
Technically not horrifying, but I found the ending of “Death and the Maiden”, to be one of the most unnerving.
Ha! At the end of “It’s Alive”, a cop informs protagonist that another killer mutant baby was discovered in the sewers up in Seattle!
Hearing the gradually-getting-louder telephone ring at the end of “Black Christmas” ('74, never saw the re-make) was pretty chilling.
The suitcase on the side of the road in “Henry: Portrait of a Serial Killer”.
Hate to get all FTW but seriously - anyone here seen “Looking For Mr. Goodbar”? What made this ending extra and truly horrifying was that it was not the kind of film you’d expect to have so grisly an ending.
In “Auto Focus”, quite evident as to how the ending would turn out, but still unsettling.
The rising out of the tub at the end of “Diabolique” kinda gave me the willies.
Bad dreams about hands reaching up: Amy Irving freaking out at the end “Carrie” as does Jon Voight, at the end of “Deliverance”.
Little demon goblins, in voiceover, discussing big plans at the end of “Don’t Be Afraid of the Dark”. 
The mass shooting at the end of Lindsey Anderson’s 's “If” is, if not horrifying, then a jarringly violent non sequitur? Who saw that coming?
Post #77. 
Odd - must’ve misspelled it in search.
Also, probably help if I read OPs a little more closely, viz a viz the list thing.
…this is a very helpful thread of movies that are now on my “do not ever watch” list LOL 
(Not a dig at the quality of these films, as I’m sure most of these movies are great, but I’m old now, and tend to gravitate towards media that won’t make me sad when they finish.)
I think it is horrifying, but in a different way than you, it seems.
In the world of the movie, the “real world” IS demons and humans acting for God. The Demons are real, as is God. We aren’t living in the real world, because we don’t believe, or understand, or are aware. But (in the movie) we would be wrong.
I’m mad at God, actually, for hiding it all. If everyone knew, we could all fight demons. Why is he lying to us? or at least, not making it clear. It’s a stupid game God is playing, to keep us humans in the dark, and then blame us for our ignorance.
I found the ending of The Rapture equally horrifying, for the same reason. In that film, you go through it thinking they are delusional, and then WHOOPS it was all true, and now they are damned. For reals. “Sorry you didn’t repent! Too late now! Sucks to be you.”
I liked The Rapture and its ending. But all of the characters in that movie were actually given a choice as to how to react. There’s even a policeman character who was allowed to make a last second conversion. But Mimi Rogers’ character couldn’t accept the actions of God. I think it’s profound to make it come down to that, even if there was a god we might not agree with what it does, then what? She couldn’t. But I think the characters were given enough information and all had agency the way it was presented.
Frailty is just alienating. There are demons from birth, angels/demon fighters. The demon fighters will kill the demons and cloud your mind so they can continue doing so. The demon fighters are superior to you, just be grateful they exist. You have no clue as to what they are doing anyway. The opposite of agency. Blech.