Yes, this really is the type of Machen story I like (and I indeed had read it already before). And these type of stories are no doubt the ones Lovecraft got inspired by: the fear for the unknown/unknowable and the vagueness, typical to this type of weird fiction. I do think this story is much more lighter (and indeed sometimes quiet comical) in comparison with the darker stories (and essays in his Hieroglyphics) about the sublime / the ‘grail’ and the veil (a word Machen uses a lot).
To me, the best weird fiction keeps it vague, because it exactly is about the unknowable; but I understand readers that think of this as too easy or cutting corners. If the threat and vagueness is written down really evocative and suggestive, that’s enough for me to ponder and muse after reading it (and for inspiration for my own stories). As you said ‘the encountering of the unknown/unknowable’ is what makes weird just what it is, not what comes after it, or explaining the whole thing: ‘scooby-dooing’ or rationalizing such a tale would totally break it.
I liked your approach by comparing the story with detective stories. I admit with shame that I haven’t read a Sherlock Holmes tale yet (though of course I know most of the stories form several tv shows and movies). I look forward to Conan Doyle entering Elder Sign! I’m also interested in his other tales by the way (maybe some out of the collection ‘Tales of unease’ – I haven’t read it, but it looks interesting).
As I said some times in other forum posts: I really like the idea of a weird ‘hidden’ city beneath the superficial one. I will not again discuss this topic, as it has been covered already several times, but it’s one of the things Machen is very good at, in some of his other tales as well.