Speaking IMC, of course...
So now they are high-tailing it back to the Elven stronghold to warn them. Which begs the question, "What scares an Elf?"
Industry. Elves normally live for centuries, so they have a different perspective to humans. A human comes into the world and sees it as it is. He then makes his mark on the world, but no matter how great his influence, he really won't see much change over his lifetime - at worst, he'll pass a worse planet on to his children who will then see it as-is.
But an elf lives for many human lifetimes, so he sees the damage that can be done across generations. So when humans cut down forests en masse to burn them up to fuel industry, the elves see the horror of it - not only have they seen the death of trees that might have stood for generations, but they also know that the forest won't just spring back - it needs careful cultivation and tending or the likely result is deforestation.
Of course, the problem with that is that it's not terribly useful for a cosmic horror game - the threats probably need to be much more immediate.
Do elves have daddy issues? Do they have scandal and jealously?
IMC no, no, and no. Elves are similar to bees, in that there's a Queen who is actually the mother of the entire colony, the father is her chosen consort of the moment, and so the elves don't even know (or care) who their father is.
Likewise, elves don't have any concept of marriage, or monogamy, or even family - young elves (of the 'noble' castes - 'workers' are near-mindless) typically travel from their colonies into the world and eventually return to some other colony. While there, they may take whatever lovers they wish for a time, and then they may part from those lovers as they wish.
Oh, and elves (except the Queen) are infertile with their own kind, so that's not an issue either. (Though they
are fertile with humans, a detail that causes them some trouble because it's something they simply don't consider before taking a human lover.)
Do they have human realities, like food and waste and sweat and sex?
Yes to all. Well, maybe not sweat.
How have you guys dealt with the humanity/inhumanity of fictional races?
I generally pick one or two iconic differences and then emphasise those. With elves, it's the fixed castes (worker, noble, queen), the lack of family bonds, and the sexual freedom that results. With dwarves, it's a schism based on food: the most traditional dwarves insist that they should eat only manna (a legacy of their wanderings in the Underdark in their ancient history) while more modern dwarves delight in a wide variety of foodstuffs.
That way, the players have some sort of hook that they can grab on to with their characters, without being overwhelmed with a huge amount of lore to try to get their heads around. And it means also that they have plenty of scope for their own detailing, both of their character and also of the specific settlement that the character came from.