The allure of fear generally refers to how some humans like to be afraid. Yes, there are a fair amount of people who like to feel horrified and seek out books or movies or other avenues that are intended to cause them terror.
You might think about the popularity of haunted houses. Why do people visit such frightening places? Well, we might say that the fear they experience there is attractive or alluring.
Again, the popularity of scary movies, eerie TV shows, and haunted houses seems to support the notion of the "allure of fear."
Science, too, has something to say about why humans court fear. When our bodies are scared, they tend to release dopamine. Dopamine is the chemical connected to happiness. You could say that when we're scared, we're enjoying it.
Another way to think of the "allure of fear" is to think of how fear is used in movies and TV shows to make a greater point on a societal issue. Think about how the horror movie Get Out employs scary movie tropes to get us thinking about racism. You might also want to look at how the scary movie It Follows employs fear to get us thinking about STDs.
If you wanted to do a more complete review, you might want to look into the history of the Gothic novel. Before movies and TV, people were finding their thrills in an array of frightening books.