Ravenloft is not the only way to run Gothic horror D&D.
One can do Gothic or Cosmic horror in D&D outside of Ravenloft. Nobles, vampires, mad scientists, and werewolves exist outside Ravenloft. Ravenloft IMHO has a bit more than just being a horror plane.
It's not "you are doing it wrong" as much as "how are you keeping Ravenloft unique and identifiable if you lessen the darklords?"
For example, if you lessen the involvement or impact of darklords, how does Ravenloft feel different to your players than Innistrad?