Thanks for the post. You're right that none of the modern X-Com sequels including Xenonauts have got the horror feel of X-Com quite right, and it is something I'd like to bring into X2.
The game you linked in that video isn't necessarily a feasible way to do it though; shadows and lighting are very complex things to get right and games like Xenonauts don't translate well to that sort of setup for several reasons - firstly, it's very important to be able to see which tiles are visible and which aren't, which might be kinda tricky if you have eight to twelve soldiers each using powerful torches like in that video at the same time. Secondly, using light cones also doesn't work very well on a tile grid because things tend to look very jagged due to the shape of the tiles and the fact entire tiles have to be lit up or dark, not just parts of tiles. Thirdly, I suspect people want a game like Xenonauts to support both day missions AND night missions, so we can't get too hung up on specific light effects even if we wanted to. Finally, environmental destructibility and fancy lighting don't tend to play nicely together.
To be honest, the original X-Com did horror very well without all the fancy lighting effects. Playing a mission even in broad daylight could be very scary so I think we need to concentrate on trying to bring the horror in in other ways.