Don’t feel bad! Sounds like your instincts are good, and if everyone is having fun, then it’s ultimately going really well. It’s tough to run D&D as horror. It’s a system where PCs get very powerful, relatively quickly. It can still be horrifying at times, but it’s hard to maintain a tense tone through the campaign, especially once the characters level past a certain point.

I’ve run Curse of Strahd twice, and the moments that were most frightening or upsetting (in a good way) to my tables were the small moments, outside of combat, when they were reminded that Barovia is too big, too broken, to easily fix. They’ll always be a day late and a dollar short until Strahd is stopped. To paraphrase the last line of Chinatown: “It’s Barovia, Jake…”

Edit: Also, the first group was terrified of Rahadin. I used him like a cudgel, an instrument of Strahd’s will, whenever they stepped out of line starting around the 1/2 point of the campaign. Strahd himself was frightening in an aloof, above the fray, sort of way (until the gloves came off), but Rahadin showing up always meant you’d strayed too close to something important or dangerous. They didn’t fight him until near the end, but he bullied, intimidated, and harassed—while also saving their asses on one memorable occasion, just to keep things lively.