The Story of a Disappearance and an Appearance (Fantasy and Horror Classics)

What happened here? This story had quite some potential to be genuinely scary, the imagery used when describing the harrowing Punch & Judy dream sequence was chilling, I find Punch & Judy to be quite creepy at the best of times, now imagine a hyper-realistic Punch & Judy... baby and all... with blood, screams and the grotesque sounds of skulls being crushed... yeah. But unfortunately the story is full with plot points that ultimately go nowhere, very little is explained, I understand that horror can often be left to the imagination of the reader, but there wasn't really anything to go on here, it's like an anecdote where the teller misses out key points and leaves the listener confused.