I think it's because horror/mystery can be done without the audience having a well-formed attachment to the characters, because they're mostly about situations and events. Viewers WILL react to watching a family get murdered or abducted by aliens, even if they have no idea who those people are.
Other genres usually need more time to develop their selling points...like you said, fantasy is mostly about the world, and it works best when the audience gets enough time to explore that world. Slice-of-life-y genres, including romance, are usually about the characters and their lives, and they work best when the audience gets a chance to learn a lot about them.
Not that it's impossible to tell short-form stories in those genres...but it's much easier and usually more satisfying to tell long ones, and they're probably easier to sell, too (what network would say no to a gripping love story that they can milk for season after season?).
And a lot of long-form horror/mystery tends to turn into a 'monster of the week/month' deal anyway, so it's pretty easy to make the leap to a full-blown anthology.
