Sometimes, one needs the rules so that the things that break them become more frightening. Take "Buffy," which was referenced in the article. Are the normal everyday vampires frightening? No; they're far too well understood. However, that makes it all the more intriguing when something or someone appears who breaks the rules, who is beyond what is known. The vampires were never supposed to be the scary part of Buffy; the 'fear' in that show came primarily from within, from the sacrifices and choices the characters made. The vampires served as the "mundane" threats, somewhat ironically. In Lovecraft, the mundane difficulties of traveling or gaining access to a particular library would be the nearest equivalent. The vampires were supposed to be "boring," in other words; basic obstacles, not beings of fear. (Not to mention that "Buffy" is pretty clearly a comedy/action/drama rather than a horror show; it's a bit unfair to pick on it for not being horrific when it wasn't generally trying to be.)
It's worth noting that things work best when they strike a balance between structure and chaos, the rules and the things that break them. F'r instance, "If you're bitten by a vampire, you become one in three days" can be quite horrifying in its own right; sometimes the rules are a weapon themselves. It's all in how it's used, I think; I've run sessions of D&D or White Wolf games and scared the heck out of my players, even though they (and their characters) all knew the "rules" of the world. It was a combination of using the rules that existed effectively, and breaking them judiciously with the unfamiliar. Establishing the rules allows one to break them to strong effect, and some rules can be effective horror even in their utter clarity and mundanity (c.f. the vampire-in-three-days thing). There has to be a baseline, in other words, things that are known, so that the things that are unknown stand out from the background.