well we got murderers, psychopaths and violent extremists in reality, but I think anything that bends reality or is fictional is more scary to begin with. If it's fictional but still possible in our reality I don't see it as scary as compared to more bizarre and unrealistic things.
Unicorns are scary, they're fabled to be violent and god knows what type of magic they'd use if you mess with them by accident. Same with wizards, elves, spirits, superheros, you name it. All the stuff they do is fine and dandy in their world, but here it'd be horrible. "oops you pissed an internet troll off! They use their magic to make you literally impale yourself instead of receiving a passive aggressive note telling you to."