You did make that claim as a follow up to a point that traditional Call of Cthulhu is low agency (and I agree it is). I'm not seeing the general argument -- in fact, I think it's the system that trad CoC uses that mostly restricts agency. The Alien RPG, from what I've read (I should buy it, honestly, just don't know when I'd get to play it), uses the Year Zero engine, which definitely runs more towards the play to find out side of the street that any of the traditional systems. I don't see how horror, as a genre, would necessarily restrict agency. I've run horror in my Blades game very recently (Duskvol is, after all, the Haunted City). Zombies that stutter step through space and time, malevolent elemental entities, ghostly possessions, kidnappings of ghosts(!), creepy doomsday cults, and the ever-present oppression of constant night. This is part of the Blades milieu. Not every game focuses on these elements, and I didn't intend to, but that's where play went due to player actions.
So, tl;dr, I don't think there's anything endemic to horror that requires attacking agency.