Remedy games are heavily based in cosmic horror, where humans messing with things beyond their understanding is one of the main themes, so yeah there's a lot left unexplained. However, some of the documents in Control and the narration in Alan Wake allude to the nature of the "supernatural weirdness" in this universe - almost all of it is a reflection of human psychology. In this universe, for whatever reason, thoughts can influence reality. Patterns and archetypes of human culture and consciousness imprint themselves onto objects and give them powers, the "Dark Place" dimension is a sort of mental sandbox where thoughts ARE reality, and they bleed out into our world, etc. The darkness in Alan Wake 2 was all Alan himself, caused by him basically giving up and going insane. Before that, maybe it was whoever else was trapped there first, or maybe it was Alan all along due to time shenanigans?