It was a marketing stunt, and hardly the first of its kind.

Epes W. Sargent wrote a column called "Selling the Picture to the Public" starting in 1911, followed by the books Picture Theatre Advertising (1915) and Building Theatre Patronage (1927). The former book contains relatively tame advice for drawing a crowd for film publicity, except for the bit where it suggests to give away a baby.

Advertise that on a certain day, well in advance, you will give a baby to a person to be decided upon. Make a big display of the fact in your advertisements. If no one else does, get some friend of yours to write the papers denouncing the inhumanity of the act.

The idea was to drum up attention ("so much the better" if the police get involved) before the eventual climax where you bring out a baby pig dressed in clothes.

This was the age of circuses and the legacy of Barnum. The more outrageous the claim the better. Another early technique was "wish news", trying to create fake stories that somehow increase the intrigue of a particular story; there was an ad in 1910 ("We Nail a Lie") denouncing the hoax about the star Florence Lawrence's death. The problem is, there was no such hoax to begin with; the ad was the first time any such thing was mentioned! Nevertheless the seed of the hoax was planted, and it allowed later headlines like "GEM THEATER FLORENCE LAWRENCE NOT DEAD - See her here in today's motion pictures."

The actual showing itself was meant to create an environment, not just be a movie theater. The theater was often decorated heavily to emphasize the theme; think of the "dressed up" lines leading into a modern Disney ride. With an early version of Dr. Jekyll and Mr. Hyde the lobby was "split" with a horror theme on one side and romance on the other; it was reported at the time this was successful enough that it made the movie one of the highest grossing of the year.

For horror specifically, there were staged faintings (and in one case, a real fainting at a viewing of King Kong where a woman fainted at the sight of a man in a gorilla suit).

As far as Frankenstein's warning goes, something similar dates back to Nosferatu, the 1922 vampire classic (which was nearly destroyed by a Bram Stoker estate lawsuit when negatives were ordered destroyed, but fortunately for modern audiences copies survived). Advertisements warned "It's Only A Movie ..." and the movie came with a message that

Nosferatu is not just fun, not something to be taken lightly.

Frankenstein just copied the same type of shtick, augmented:

So if any of you feel that you do not care to subject your nerves to such a strain, now's your chance to -- uh well, we warned you.

In his 1927 book, Sargent suggests placing ambulances outside the theater, their presence outside a horror theater suggesting a grim outcome for the viewers. Dracula used this trick. Here's a picture of an ambulance at a showing of Frankenstein (complete with nurses); Universal had the lobby dressed with sinister medical devices.

...

Bailey, S., Blake, M. (2013). Writing the Horror Movie. United Kingdom: Bloomsbury Publishing.

Bloom, A. B. (2010). The Literary Monster on Film: Five Nineteenth Century British Novels and Their Cinematic Adaptations. United Kingdom: McFarland, Incorporated, Publishers.

Gaines, J. (1990). From elephants to Lux Soap: the programming and "flow" of early motion picture exploitation. Velvet Light Trap, 29-44.

Grant, B. (ed). (2015). The Dread of Difference: Gender and the Horror Film. University of Texas Press.

Jancovich, M. (ed). (2002). Horror, The Film Reader. United Kingdom: Taylor & Francis.