I think "X isn't scary" as a general statement, is a flawed argument.
If you're an adult, nothing in a movie is "scary", it depends on both personal history and how it's shot, whether it's effective in making your skin crawl.
The VVitch has Satan as a baddie, and makes great use of it, but it's not like you cover you face in terror.
The same is true for Eldritch, ghosts, and any other supernatural (or non-supernatural, tbh) villain.
Whether one or the other is more effective for you, aside from the quality of the movie, is probably down to culture & personal history.
I've never been religious but i grew up around rural Euro towns/villages, so i guess anything to do with witches and that kind of stuff, stimulates me more than other things.
Maybe if you grew up in a big modern city, other things activate that response better.
Anyway, yeah i preferred Bloodborne better when it was about beasts, werewolves and witches.
I don't hate the Lovecraft thing, i just don't like it as much, and i'm fine with anyone having their preference, but i hate how to some people the former is dumb, while the latter is somehow "thinking man's" horror.