Horror movies are, ostensibly, about evil. Sometimes its flagrant evil, sometimes its insidious evil, sometimes it's all-children-are-inherently evil, but it's always there in some capacity.
That's because the sort of thematic threats that exist in other genres never really translate as scary. Yes, the global conquest presented in most action films clearly marks out the antagonists as Actually Bad, but they seldom have you scurrying behind the sofa and leaving bedroom lights on.
Evil is always a required presence because horror movies are, when you break them down, moral tales. They thrive as a medium that encourages society to learn some valuable lesson about how we live our lives and ultimately overcome it for the betterment of all involved.
In short, you can't beat evil unless it's there in the first place, but that doesn't mean that it always gets beaten. Many classic horror movies have contented themselves with presenting a terrifying story without having to wrap it up nicely at the end, making evil the star of the show from start to finish.