There isn't much of that. There's definitely dread, but when there is, it's more like that Minecrafty "Fuck, I HATE exploding monsters!" way, or if you get lost underwater in the dark, a more vanilla, "Fuck, I gotta survive the wilderness!" dread.
I'm sure there's going to be plenty of horror mods in the years following its full release, maybe even a Steampunk mod to give it a Cthulhu feel, and there are big sea monsters, but they're very up-in-your-face, and then gone whenever you pass out of their area of interest. Due to it being an organic, sort of random environment, they don't really cultivate a good atmosphere around that kind of thing. It's not a horror game unless you hate the ocean, it's really a wilderness survival sandbox, and that's how it feels, for the most part.