Sound design is most certainly one of the most important things in a horror game. Imagine Slender without sounds - it would be laughable.
A logical explanation of it: Our main sense (both IRL and in games) is sight. In horror games, you're usually not always surrounded by fear-inducing visual stimuli. That would ruin the point of the game. So when you don't always have visual cues, a game designer has to implement audio cues instead, hearing being our second line of defense in sensing our world.
From a psychological perspective, there's also the fact that we can interpret the same visual situation completely different in different sceneries based on the context clues. In other words, if a horror game had happy music, we'd feel far less scared, and would be much more prone to actually being happy. If there was the sound of a tropical rainforest instead of dark ambience, we'd feel more peaceful than suspenseful.