This seems kind of cute, though i'm not sure if the reimu wants Anon back because she's terrified, or if she's scared for the Anon due to what she saw on tv after he left. Anyone care to explain it a bit?
Not too familiar with japanese ghost stories, but the first one that reimu saw was about the shoumai joke thing that gitami mentioned, the second is about some monster that hides in the cake or sweet things (not too sure). Reimu remembered that anon went out to buy some and got worried and wanted to save him.