There is nothing wrong with frightening the child, but only if you do so for the right reasons.
Right reason: it is dangerous to play on roads, so you can say:
Don't play on the road, or you may get hit by a car.
Wrong reason: you don't want you child to get dirty, so you can say:
Don't play in the garden, or the beast from the beneath the bungalow will drag you away.
Basically, if you lie to to your kids just to shut them up or control them, sooner or later they will work out what you are doing, and assume lying is ok. They may also develop unnecessary fears of bungalows, or the police, or whatever.
But there is nothing wrong in frightening them with the truth, in order to stop them from doing something dangerous.
Instead, be a bit resourceful. If I want my youngest to be quiet, I say "Let's play the silence game." The person who can stay silent the longest is the winner. There is diminishing returns from this one, but it can be adapted fairly easy to suit the occasion, and doesn't involve frightening or lying to your kids.