I realized that no one ever taught me that there were monsters coming into my bedroom at night

At least, that you can remember. I had recurring nightmares about the chase scene from The Shining during my childhood and adolescence even though I’d never seen it, then saw the film again as a teen and it all made sense. I can only assume I watched it with my dad at a point when I was still young enough that I wasn’t forming long-term memories, so that terror hung out in my subconscious.

But, you’re absolutely right in that our species fills those unknown spaces with make believe. We always have and always will.