I don't think they're scary too, nor I think they're supposed to be scary. Liminality is a specific feeling on its own, the one that is arguably only humans are capable of experiencing. It's uncanny, odd, strange, weird, unnatural, irrational, thrilling, but not inherently scary.
This might be a stretch, but I think portraying it as horror is a really cheap move that bastardizes the experience itself and is sort of misleading, liminality is not fear, it's a thing on its own. Gives me similar vibes as bastardization of mental disorders through media, like those "horror" movies that portray mentally ill as a source of spooks. It's not as dangerous as stigmatizing mentally ill people, but still leaves a similar bad taste in my mouth.