Has AHS ever been scary to you? I don't know if it has to me. Mind you, I don't even think that's what they were going for with Coven, and probably Freak Show after Twisty's death and Hotel after the first things-in-the-matress episode. Asylum was probably the only one that might've approached it, both with the concept of being wrongly imprisoned in an abusive institution with no recourse and the unexplained supernatural/demonic elements.

I don't think it's possible to maintain fear throughout a 13 episode season consisting of 45 minute episodes. Less is more when it comes to the horror genre, I think.