I think "horror" is enough.
There are 4 questions for "horror" and 3 questions for "cosmic-horror". All of them are the same, except for one that was closed in "horror". They don't seem to be different and both don't have a description.
Therefore I think you are right: keeping the more general "horror", adding a description and removing the too specific "cosmic-horror" seems to be the best way to handle this.