It's a common axiom of storytelling in horror in general and horror movies in particular that the less you see the monster, the better. From a writing standpoint, this makes sense. Fear depends on anticipation, on getting the viewer or reader's mind working overtime to imagine what will come next. With the monster appears, there's an initial shock, but that soon wears off. Classic horror films like Alien and The Thing exemplify this principle, giving us only fleeting glimpses of the creature, having it appear when we don't expect it and making it change form. We don't get a chance to study it and become inured to it.
Lovecraft clearly employed this technique, and his ability to allude to a vast, frightening cosmos is part of his longevity. One of his best stories, "The Statement of Randolph Carter", is solely a man sitting in a cemetery, listening to another man on a radio telephone describing his reactions to whatever unseen horrors he's fighting in some underground crypt. Nothing is shown. In his stories, knowledge is always incomplete, the creature is hidden.
A more practical consideration is that it's hard to make a monster that's as frightening under close inspection as what the viewers can dream up in their heads. In part, this is because the technology just didn't exist until the late 1970s to make convincing monster effects. Also in part, this is because agencies regulating media like the MPAA and the Comics Code Authority restricted explicit violence or gore. For a long time, movie makers working under these restricts had to develop an array of techniques to allude to violence and gore without actually showing it. In one movie, Pantherman, a prototype of the modern slasher film, the murder of a young girl is shown entirely by having blood seep under a locked door.
Likewise, the same generations of moviemakers, especially post-Hays Code, developed techniques of storytelling and cinematography to allude to sex without actually showing it. The camera would pan away to wafting curtains or running water, the screen would fade to black to cut to trains going into tunnels.
Around the same time that horror in movies started getting more explicit, sex did too. Certain critics decried this directness, arguing that to hint at sex is better and sexier than to show it directly. However, sex underwent a curious backslide from the high water mark symbolized by Midnight Cowboy. Today, you still don't see explicit sex in mainstream movies; the NC-17 classification is a sparsely inhabited wasteland. (Films like Romance and Shortbus are the rare exceptions.)
Towards the end of the first Sex and the City movie, there's a shot of one of the women sitting up in bed, having sex with her husband. In what must have been an excruciatingly carefully composed shot, we can see her frontally naked except for a bit of bedsheet that just covers her vulva and any pubic hair. I remember thinking, "Come on, is it really worth all this effort so that we don't see an actress' pubic hair, much less a penis?" Coming from a media franchise that is supposed to be celebrating female desire and sexuality without shame, this coy figleaf seems a touch hypocritical.
(Sidebar: If an actor or actress doesn't want to do sex or nudity, I say that's his or her prerogative. What I'm questioning is all this dancing on the hair-fine line that separates "real movies" from "hardcore porn.")
This brings us back to the question of defining erotica and pornography. Let me make a bold statement about erotica: that it not only be about sex, but that it present sex in a direct, explicit manner, or at least significantly moreso than in mainstream media. No fade to black, no scene break, no pixelation or black bars or blurring, no "and then two were one...". If you have to read between the lines to see the sex, it's not erotica.
If the mandate of erotica is to show, and the primary technique of Lovecraftian horror is to suggest, that's the conflict, at the level of story structure. If you applied the structure of "The Statement of Randolph Carter" to a sex story-- I imagine something like a guy listening in on a cell phone headset while his wife or girlfriend goes to a swing club without him-- it would be one big tease. Guys into cuckolding might like it, but for most people it would be a crashing disappointment. Everything else in the media landscape is about the tease; erotica is where you finally get to see it.
When the Lovecraftian protagonist encounters the unknown, the contact is either aborted, leaving incomplete knowledge, or the contact is so overwhelming, such overpowering knowledge, that the character leaves the human world behind. By necessity, my story had to be the latter kind, otherwise I would have left the reader unsatisfied.
Annabeth Leong's contribution "The Artist's Retreat" and Angela Caperton's "The Sheik" resolves this conflict in a similar way, paralleling the resolution of "The Shadow over Innsmouth".