About horror elements. What's it called?

[Romulator]

The only thing I can think of is an anti-climax, which, obviously, is the antonym of climax. Climax happens, as Flawless pointed out, at the main point of the film where the build up has been aiming towards (think of the battle between the Hyenas and Lions in the Lion King).

Warning, spoilers, but no spoiler tag, because practically everyone should have seen The Lion King.
The end point, where Simba fights with Scar, pretty much to the death, is the climax since the film has lead up to this point. Mofasa, Nala and Rafiki attempt to convince Simba to return to the Pride Land. Finding it in disarray and Mofasa's murder fuels Simba's intent of killing Scar. Think about how the ending scene would be if Scar died when Simba chokes him to interrogate about Mofasa's death. Wouldn't that be an anti-climatic moment? The build up, and Scar does not confess and the Hyenas may not even attack. It is disappointing.

Disappointment seems to be the general direction you're leading us to. A moment where the player and/or viewer feels disappointed about a particular outcome.

The only problem with this, is that it isn't exactly a horror element, but more a general movie element.