So before Slender man became a serious thing. I had a similar experience with a differing version of it, in my dreams. Blackened face, no eyes, no visible features, in a identical suit, but it wasn't tall, and it didn't have long arms. I interpreted it way differently than it's perceived in the mainstream.
I was having a dream and suddenly became lucid within the dream. Two of these black faced men appeared and watched me from the distance. I got the distinct impression in the dream, my subconscious knew I was awake and decided to observe me. I changed the dream back to what I had liked and continued on with the plot of the dream. The two figures observed and then they eventually got bored, and decided to pop up randomly me in my face, which forced me to wake up with a start.
I didn't get any sense of dread or horror that people usually feel. I rather got the feeling that I was being tested and evaluated.
I didn't see it as a scary thing but instead saw it as a representation of the collective or individual subconscious mind, when encountered. Knudsen's Slenderman is based off the Tall Man/Shadowman/Hatman. This is entity, phantom or being is seen frequently in nightmares in the dreamscape and is part of the shadow people lore if your into that. Slenderman is more off an offshoot of the real character.
I believe it has something to do with the collective subconscious for certain group of people but it also manifests differently for others.