Perhaps its the difference between romance and erotica.
In romance, there are hints of sex, outright sex, and perhaps some kink. But the idea of the book is to take the reader on a journey toward the Happy Ever After.
In erotica, there is sex. Outright, kink, vanilla, and many other flavors too. The idea of the book is to take the reader on a sex trip. Who cares about HEA? Sex is what matters!
I would think that thriller has some gore, some weapons, some nail-biting suspense. But the idea is to take the reader from point A to point B while still remaining within the confines of reality. A thriller isn't geared to keep you up at night, with all the lights on.
Horror is about the gore, about raw emotion, about myths gone bad. Vampires, werewolves, and cannibalistic Little Red Riding Hood. The trip from Point A to Point B is not necessarily kept within the confines of anything. A horror not only has up you at night, lights on, but also with garlic coated silver baseball bat.
That's my opinion, so take it for what you think it is worth.
