It can be more than one thing!
Slightly more seriously, yes, you're absolutely right; the horror is, in a large part, that Helen is forced to actually live what she's been ignoring, or treating as an object of academic study. One that, even when she was aware of it, was always something over there. (There's the one scene where she's walking out of the police station after she's identified the "real" Candyman, where she's making comments about the fact that the police didn't give a shit until he attacked a white person from the right part of town. It's her black best friend who's trying to brush it off and move on with their lives. "Yes, white girl, I know, take the win.") You have a recurring thing where we're contrasting Helen's First World Problems (worrying that her husband's flirting with students, getting into pissing matches over dinner with a tenured professor) with day to day life in the projects that she visits to get material for her dissertation.
I'm not saying that Candyman handled things badly. It is, as I've said, one of my favorite movies ever made. It had something to say, and it said it really well; Tony Todd included "truth to power" in the tweet he sent out to give the new movie his blessing, when he thought he'd been recast. (A class act, even more so when I know that they absolutely wanted him back in the title role.)
I'm just thinking about the fact that what it was saying, it said from the position of a white writer/director, through the lens of a white middle-class academic who approached the story as an outsider. I'm really interested to see the story continued from the perspective of a black creative team, with a black protagonist; where this is their history that the story is about.