In general, I would much rather be in an RPG than a horror game. Mainly, this is because I would rather not deal with that much trying to kill me on a regular basis… until I remember that that is half the point of an RPG as well. As such, I think it may depend on which games we were talking about. Especially since some horror games I’ve played enough that I think I can reasonably avoid most of the monsters quite well, especially something like the ReMothered series where enemies are pretty easy to completely avoid 99% of the time if you know what you’re doing.
BTW, this question reminded me of a moment from the Ayame ga Kill manga:
A tsundere was ticked off at the protaganist and broke 4th wall to threaten with sending him to another series from the same magazine, with a disproportionate amount of the wheel she was using delicate to various horror series. Of course, as they themselves are in a action oriented Shonen series, he would have no problem fighting off most threats in several of these. Ironically, the Higurashi one is actually a story arc that had almost no horror and was a straight up action segment of the franchise, so the protaganist in this scene would do quite well there as his new threat would be a realistic paramilitary group in the 80s, contrasting his being a swordsman with magical armor that boots his stats in a series where half the cast are basically WMDs.
If I were to pick an RPG to find myself in, I’d probably go for one with relatively low risk of some random guy getting killed while walking around, as well as one with a fairly comfortable setting for a modern person to be in. Lately, I’ve been into Genshin Impact, which meets the criteria pretty decently.