Cohen uses his second thesis (38) to explain the monster’s “propensity to shift”, to wreak havoc and escape immaterial and return. He suggests with this, that the monster’s escape is a threat not because of its possible return, but of how that return becomes possible. The threat is that the monster can and will change.
Legend of Korra‘s Vaatu, spirit of darkness and chaos, is masterful in this regard – as the first spirit to cross into the mortal realm [LOK, 2.8], Vaatu made a daring escape from the Spirit World. Vaatu continually is defeated only through capture, and always escapes. Through each escape, Vaatu grows stronger – and we see not just a monster who always escapes, but a monster who grows more fearsome through each escape. The fear is of the monster’s ability to shift, adapt, overcome. The escape for Vaatu does not just symbolize the shifts, but enhances them.