Things that would have made Amnesia scarier

[The chaser]

Or, even better (and more realistic), they can break down the level doors.

This would be actually hard to implement:

Level doors are what makes the player leave the level:

The Back Hall and the storage, for example. They are two very different environments. If the monster broke the level door, what would happen?

They made level doors big and with a hard appearance for a reason: It was just like telling the player that door was indestructible.