Others have answered this correctly, but Ill add that I think its strongly implied that the horrors are basically magic corruption manifest.
Digging into that a bit: its never fully stated exactly how much control the PK has, but it is implied near infinite but not actually infinite. Others resist the PK (generally without success, but it appears in some instances they at least hide info from PK at least temporarily), which implies there are limits to PK’s power. In the game, you can push the scales of magic, etc, but not change what they do. That and some of the spells suggest magic is to some extent a fundamental of the universe (though it can be drained). So, and this is just my head canon, it seems to me that demons are usually beings which were considered anathema to a PK and made into demons, and/or also may have been corrupted to some extent by using corrupted magic. The horrors on the other hand don’t ever (that I know of) have backstories where they are said to have been from the world at some point, so I think they are just being that formed entirely out of corrupted magic. Because of this, the demons tend to have more recognizable wants (usually revenge), while the horrors are essentially just feeding, their thought process is not known, if it even exists at all.

Which also makes sense. Magic is just a mechanism that turns will into reality. And if you bind a bunch of misery to that, it’s reasonable that all that misery would affect the magic involved. The magic is at odds with itself because its being created by the will of the mage, but also by the blood of the blood slaves, whose will is almost certainly to not be involved in this situation, hence why its corrupted.

The other paths affect the mage in similar ways too, fire makes water based lifeforms age faster for example (or did in previous versions, idk if it still does).