The Emcee is not a horror movie character, and should not be played that is easily read as horrific. There's a reason why the character has defied having myriad interpretations. Walter Kerr's description of Joel Grey from the first Broadway prod review as a "gleeful puppet of pretended joy", or even better, "conspiratorially wicked" is what works best for the show, ( if you're not going for Mendes' ending I suppose. That allows for some different dimensions).
The show is about people constantly trying to hold up illusions. Again, Walter Kerr description really gels with me : " elected to wrap its arms around all that was troubling and all that was intolerable with a demonic grin, an insidious slink, and the painted-on charm that keeps revelers up until midnight making false faces at the hangman".