That might well be it, actually... specifically the Hattifatteners have been mentioned as really really scary by people I know, and I can really see how the Groke could be terrifying. I mean the Groke is basically this great lump of northern winter melancholy. You can't really fight her, it's not as clear-cut.

Yeah. Some of the stories included in The Winter Book as well... she could definitely do that sort of creeping sense of unease.