You definitely should not expect X-Men action here. Not only because it was never truly marketed as an X-Men movie, but also because "The New Mutants" comics were not so much about action, either (although had way more of that, that the movie). Or at least the comics that I read more than a decade ago.
The comics were about self-dsicovery, in a sense, and the movie is kind of about that, too. Personally, I would say that it stays true to the source in that regard. Obviously original were not "horror" or even "thriller" for the most part, but I think there were "horror-like" titles in X-Men franchise, too, so that's fine.
The main problem of this movie is that it does not really commit to psychological part of either "self-discovery" or "horror" (although this one could be a body horror, too). Because of that it does not really deliver on both. Perhaps if it was a TV show and worked with the sense of danger similar to how "The Magicians" 1st season did, it could have worked better. As is, though... It's not necessarily a bad watch, it's not exactly memorable either.
What I can saw with confidence, though, is that if Disney (or Sony or whomever holds the rights now) does not bring Anya Taylor-Joy as Illyana Rasputin into MCU - it will be just plain stupidity. Magik is a great character with lots of crazy stuff going on with her, and Anya is just the best casting one could have done for her. Since Disney has been gunning for girl power lately, she could be the best candidate to help them do something really proper, while bringing X-Men as well (through the nature of Limbo).
