Take your time, do not show anything supernatural or gore ab initio. Start with a very mundane plot, the first victim is a lawyer who has tie with the mafia, and an affair. So at first something banal and ordinary. Then add minor uncanny elements, that and drift very slowly to the supernatural mystery.
If everyone believes ab initio that there is supernatural and monsters, you’re not anymore in the fantastic/horror genre
I am split on that one.
A known setting an do a lot for engaging with the player (the cliché about the Vampire players having long discussion about the lore), and the setting is definitely a reason why i would join a game over another, if I see a GM promoting a collective setting creation I wouldn’t apply for that game.
However, even in rigid setting, there is a lot of room for player brought element. So you’re a Noble ? What does your fief look-like. So you’re a robber ? How do you sell your loot ?, what does your favourite tavern look like which ease the GM job and gives players some control on the game world.
So While I don’t agree with Build the whole setting together, I definitely expect the players to bring their own elements to the table