There's a perfectly good argument to be made about Deadly Shadows that the entire game is a buildup to Shalebridge Cradle. Thief 3 is a horror game, not a "Thief game", from that precept.
Then it's a bad Thief game.
I could make the same argument with, say, Fallout 4. You can't criticize it as an RPG because it's supposed to be an FPS. Whoop-de-hoo, it's still called Fallout 4, and as such one should reasonably expect it to be an RPG like its predecessors. You should be able to judge its quests as RPG quests.
And so you can also judge a fucking Thief mission as a Thief mission and compare it to Down in the Bonehoard, The Sword, First City Bank and Trust, or Thief 3's own Widow Moira's manor, Hammer church, or city sections. And compared to those, The Cradle just doesn't hold up as a Thief mission. It has too much backtracking with the 3 fetch quests you do for the ghost girl in a row, and comparatively narrow environments to traverse. It's not a terrible mission, it's decent enough, but it's far below average for the series.
It also feels somewhat out of place in the setting. Previous horror-themed missions in Thief games had you infiltrate ancient ruins haunted by the undead, an old abandoned Hammerite church, the weird woodlands of the Woodsie Lord, etc. All very consistent with the setting and thematically fitting.
Then, in Thief 3, you get... a haunted house that used to be an asylum and an orphanage. Oh wow, how original and absolutely Thief-like... not.
Zero connection to any of the world's factions - no Pagans, no Hammers, no Keepers, no Mechanists. Just the oldest cliche of a haunted house ever: orphanage and mental asylum. Yes, its story is somewhat connected to the main plot, but the connection isn't half as strong as Return to the Cathedral's, or Trail of Blood's. It feels out of place because it could be transplanted into any other game and you wouldn't notice the difference.
When I was younger, I avoided horror levels because I'd be too easily terrified by that stuff. Nowadays, I don't get scared easily anymore, but it's not something I seek out either. I would never pick up a dedicated horror game because it's not my thing.
I can totally appreciate eerie and creepy atmospheres in games where it fits, though. The horror elements in Thief 1 fit perfectly, as they tie in with the factions and the themes of the game.
Bloodlines' Ocean House fits very well into the game and has a place there.
I can appreciate the eerieness of Sixth House dungeons in Morrowind.
STALKER is a great FPS, and I did enjoy crawling through the old ruins, wondering when the next mutated monster would strike at me. It fit the atmosphere and themes of the game very well.
But the Cradle? It feels like it doesn't belong. It has nothing Thiefy about it. It feels like one of those generic haunted house horror games you can pick up on Steam for 10 dollars. It's completely out of place.
And to top it off, it has you backtrack thrice (!) to solve fetch quests (!), which is inherently bad game design.