My story starts off with the player not knowing anything about where they are, but it, like plenty of other custom stories, takes its own path thereon and builds up from there. That's pretty much the best way to start a scary game off. Lots of horror genre games start off like that, by the way; giving the player little or no information about who they are or where they are. It just makes the game all mysterious and raises the fear factor of things. I do agree with you, however, when you say monsters are always introduced quickly in custom stories. It is good in some cases, but not in most IMO.
Just letting you know, a LOT of stuff you wrote about is all opinion-based, so try not to state it all as if it's a list of facts