This is a whole different argument to whether either of them have depth. Something does not have to be deep to be scary (in fact, an argument could be made in entirely the opposite direction).
If you want to argue that Amon is scarier than Kuvira then argue that. Don't puff up the argument with the idea that he is also somehow deeper.
I don't really think Kuvira's purpose is to be 'scary' in an aesthetic jump-scare kind of way, at any rate (and yes, I'd argue that Amon is). She represents a very modern threat: A true believer who can motivate (in both good and bad ways) people to follow them. I don't really find the idea that the Earth Kingdom, recently relieved of their monarchy and having recently had land taken away from them as a result of another nation's war, would turn to a megalomaniac nationalist surprising or hard to believe. Certainly no harder to believe than that non-benders ruled over by a council of benders would do the same.
Amon has a stronger (and scarier) aesthetic, I won't argue with that. But they're really quite similar in most other ways.
I agree that it's a much less personal story to Korra than the others, and compared to AtLA's with Aang. But the back half of the series seems to be (badly) trying to ask the question of whether the Avatar fits in this world, and it seems necessary that we should see a story of an Avatar acting in the role it's supposed to: Policing the world, including the parts that don't directly affect the Avatar.
And I think that if you believe in a cause to the exclusion of all else, it's pretty natural to see the accumulation of power to enact your vision as necessary. That's what makes true believers so scary. They want all the power and they will wield it to reshape the world in their vision.