A tag of horror-gaming seems weird to me - the entire site scope is about gaming, so it seems redundant. Our other setting tags aren't e.g. [fantasy-gaming], but just [fantasy].
Yes, horror should be the primary tag.
I suspect that horror-gaming gets used because while we're comfortable with fantasy as a familiar gaming genre, horror is a little more niche. There may be a sense (especially upon seeing the choice of both tags come up) that the -gaming bit helps clarify things.
But it seems unneeded to me, for the reasons brought up in your question. horror is fine and dandy.