Is it normal that i find mental things scarier then physical things?

Ok so I love horror movies and all and scary stories but the things that scare me most are always the concepts and not what happens. For example if i was watching a blood and guts horror film it would not scare me as much as a physiological one where the killer is crafty and does all these scary things.like this one -A few years ago, a mother and father decided they needed a break, so they wanted to head out for a night on the town. They called their most trusted babysitter. The job was fairly easy as the two children were already fast asleep in bed; the babysitter just got to sit around and make sure everything was okay. Later that night, the babysitter got bored and went to watch TV, but she couldn’t watch it downstairs because they did not have cable downstairs (the parents didn’t want children watching too much garbage), so she called the parents and asked if she could watch cable in their room. Of course, the parents said it was okay, but the babysitter had one final request… she asked if she could cover up the angel statue outside the bedroom window with a blanket or cloth, at the very least close the blinds, because it made her nervous. The phone line was silent for a moment, and the father who was talking to the babysitter at the time said, “Take the children and get out of the house… we will call the police. We do not have an angel statue.”- i honestly find this to be one of the MOST terrifying stories I've heard even though its very simple and obvious... Because thinking about it just scares the hell out of me!