I would tend to agree. A lot of it also comes down to whose perspective we experience the setting through.
Handmaid's Tale and Game of Thrones aren't supernaturally terrible as both are examples of systems that exist/have existed in the real world. But they both have evocative and sympathetic protagonists that bring home the terror of those settings.
Something like the Eldar was just an ultra-depraved sex-murder cult masquerading as a society that birthed a chaos god. I feel like that's a step up.