Stranger Things Season 2: 9 Crazy Fan Theories (That Might Actually Be True)
4. And It's Caught Between Two Worlds
It's important to note that the creature has so far been referred to as the "Shadow Monster", and called an interdimensional being by the showrunners.
That suggests that, rather than a physical threat like the Demogorgon, it's actually something different, as outlined by Mamsies in these Reddit comments:
It's an intriguing idea, and definitely fits with the notion of going bigger and badder than the first monster, with a creation wholly more difficult to fight against. The idea of those storms fits with the fact that we've heard the monster is coming for the whole town of Hawkins as well, rather than one that focuses on taking individuals.
Likewise, the notion of it being between these two dimensions, and breaking down those barriers, matches with comments and taglines about the world being turned upside down and dimensions bleeding together.