-------------why are children so afraid of ghosts they have never even seen-----------
The children have no knowledge about the real world. Everything that they hear, everything that they read is new to them.
If I say apples are orange in colour, in the inside they are green, you will say, "Stop kidding". This is because you have been accustomed with the idea that the word apple refers to an almost round fruit with a red skin and a white inside.
But a 2-4 year old child has not yet been accustomed with this idea so well. So, if I tell him that apples are orange coloured with green insides, instead of doubting or making fun, he will just very clearly imagine as I said. And all children will exactly believe that there are apples which have orange skins and green insides. I think almost everyone has had this type of experience with children.
So it is understood that children don't really understand what is real and what is their imagination. Everything is real for them. They will not even understand that an orange apple is just their imagination, which has no existence in reality. This is the extremeness of the imagination of children.
And again when children are told about different ghosts, just as they believe in orange apples, they exactly believe in ghosts. They will make clear pictures of black, hairy or big-toothed semi-human beings. But, they don't exactly know what is real and what is in their minds, just as we see in case of orange apples.
For this, when children hear about different ghosts, they just believe that these imaginary beings will arrive and eat or beat them. But I think, since there is no difference between reality and imagination in the mind of a child, he might often see what he actually imagines, because imagination is a major part of his reality, it has a clearly extreme effect on his reality, as in the case of orange apples.
For this, I think, all children often hallucinate, and thus get so afraid of the ghosts they "see", which are actually just in their minds, but get real just because of extreme influence of imagination on reality, since imagination of their minds and reality of their eyes are just same for them, as in case of orange apples.
This also explains my own memories of seeing ghosts. And I think, like me, many others have memories of ghosts, because I asked this to a few people, some said that they also had their own memories of ghosts.