Tropes are a tool for storytelling. They are not inherently good or bad. The important thing is how you use them.
To know if your storytelling is good, you need to ask yourself "Why? Why does the character do this?" If there's no logical reason why they do what they do, then you've run into a problem.
There's a reason why people constantly shout at horror protagonists for being stupid. No logical person heads toward signs of danger. Think about what you would do in most horror movie scenarios. Would you go into a haunted house? Sure, maybe that'd be fun. But what if you start experiencing actual paranormal phenomena like moving plates or a physical monster?
I, for one, would get out of there as soon as possible and call the police. It doesn't matter if they believe me or not. I can make something up. "Hello, officer? I was walking by that creepy house at the end of the street when I saw a guy in a scary mask holding a blood-stained ax. I think I'm next on his list. Please help."
The worst they can do is ignore you. But at least you raised the alarm.
So let's do the opposite. Let's come up with a legitimate reason why the character has not called the authorities and decided to go about this on their own.
The character doesn't trust the cops
For any number of reasons, your character might not trust figures of authority. They might even be right not to trust them. They could be a disgraced cop who thinks the police are thoroughly corrupt. They might be a conspiracy theorist who thinks the government is secretly run by reptoids.
They might be right to be paranoid, but my point is that the character may have a specific character flaw preventing them from telling the truth.
ex1-"I'm a struggling scientist. A genius. I can't let anyone else discover aliens are real until I win my Nobel prize."
ex2-"I'm a disgraced ex-cop who's too proud to admit my own shortcomings. Solving the case myself is more important to me than the law."
ex3-"I'm a jaded, paranoid supernatural detective. I've lost everything hunting this monster, and I can't let anyone else into harm's way."
The character's inability to trust other people, therefore, could lead them down a dark path.
They may learn to live with it, learn to overcome it, or their personal flaw could destroy them in the end.
Outside Pressure Prevents Them from talking
In this case, the protagonist's paranoia is fully justified for any number of reasons.
If the police are in on the lie, then you can't exactly go to them for help, can you?
What if the information they've learned is that shapeshifting aliens have taken over the government? Who do you trust? Now that you know shapeshifters exist, anyone could be a potential threat, even people you think you know well.
Is there magic involved? The character might be cursed not to tell anyone.
Is there a monster involved? It might threaten to eat the protagonist or their family if our hero decides to tell anyone. They have to go it alone.
Is the character special in some way? A chosen one or sorts? Then they might literally be the only person able to save the day.
There are only two logical reasons why a character would refuse to tell anyone about their predicament. Internal reasons or external ones.
Either they think they do not need help for internal, prideful reasons, or they physically can't accept help because there are too many threats knocking at their door.
Sometimes the threat is simply something only the protagonist can solve.