Insanity is easily fixed in SR nowadays. Behavior mods and personafixes see to that. It's only the ones cause by serious biological trauma (I.E. damage) that is dificult to repair. Of course, it still costs big nuyen...
Having uber-powerful opposition that you can't do anything about is really boring. It's a terrible way to play a game. It only works for CoC because when you play it, you go in accepting that fact. It is a part of that setting and that genre that players buy into in order to play.
However, for a game set in the "real world," as it were, such things don't work too well. Real, common sense questions and actions work just fine in Shadowrun, because it is set in "our world" with just a few new things added in. The great strength of the setting is that everyone and everything act like you would expect a real, living person to act (sometimes they act badly, but still). Even the monsters act in a manner that can be understood, because they exist in a world where the rules are just the same. Magic is just something that got tacked on to people's world and worldview, and the people have reacted much the same way they react to everything else in the world. I.E. how can it be used/exploited to maximum advantage/gain? Should such entities become known to the Shadowrun world, they will be either exploited for maximum profit or eliminated. As apothetic as the world at large has become, it wouldn't do a lot to stir up worship (except with the tiny number of crazies around), since those entities don't actually DO anything, either for or against the people worshipping them. And if they did, then we are straight back to mainstream exploitation or elimination. There's not a lot of in between here.
For the limited communication and knowledge base of the 1920's, it works fine. But with the oversaturation of information present in the 2070's (heck, even in modern times) those things will become just another resource to exploit. Good old practical exploitation and apathy will annhilate any lingering terror. The Enemy (the Horrors from Earthdawn) want to devour the world, and they are very interested in who takes notice of them, and so act cautiously, lest they be opposed and stymied before they are ready. In this way, they are easier to understand, and integrate, than any Cthuloid monster.