Youkai in general are so singularly of Japanese culture, though parallels could be made to other countries' mythologies, that I think it is a hard sell to Western and American cultures in particular. I've talked with Youkai expert Matt Alt about this exact thing and in an upcoming interview which will hopefully be live at scifijapan in the very near future (as soon as I get it transcribed).
I reread my own pocket review of Millenium Curse and I seem to have liked it pretty well
but it sort of backs up my original statement:
I didn't even remember liking it. I'll have to watch it again, and yes I love that this type sub-genre stuff is finding a place in the R-1 market.