Interesting point about cut scenes. People who have been gaming for a while tend to recognize that the non-interactive nature of cut scenes means that while bad things may happen (Gee, I just got knocked out and lost all my weapons... Never seen that before...) nothing fatal will happen because the nature of a game is that player failure has to be dictated by player action. Even canned player death sequences only occur after the player has failed (and while I haven't played DS2 yet, the deaths in DS1 mostly raised feelings of, "Yeah, yeah, I know... Rub it in, why don't you...")
In-cinema "quicktime" events skew this a little, but any game designer worth their salt who actually uses those bastard things knows enough to put the player as close to the sequences beginning as possible after a failure that necessitates a retry (in part because they're going to catch a lot of flak if they fail on such an elemental issue of game design.)
I do somewhat wonder about how we're defining "fear", though. Monster-closet "boo" fear is easier to instill and, I imagine, easier to measure than ongoing "things are getting worse and there's nothing I can do about it" dread. I also have more respect for designers who can instill the latter.