Coming off my first failed SCP, one of the biggest criticisms I encountered (other then if English wass my first language which nearly put me off coming to this site, but I digress) was that it was too mysterious for it's own good. While I understand that criticism, it got me thinking about other SCP's like 701 that are pretty reliant on a sense of mystery to increase it's potency. So I have to ask when is a sense of mystery to much of hindrance?
It's too mysterious if you can read it and not instantly form a mental picture of what the mystery is hiding. What I mean by that is that you should be able to read the SCP and think 'oh shit, is that what it is?" but not actually be sure whether or not you're right.
If you haven't read this, you should. It is Mann's "Conservation Of WTF, or Why Does the Rabbit Need Two Brains?", an essay on weirdness in articles. While 'weirdness' and 'mystery' are two different literary devices, it still may hold some hints towards the answers you seek.
My own short answer on how much sense of mystery to include (to quote the elegant wording of the aforementioned essay), is "exactly as much as you need to". No more, no less. It's an infuriatingly cryptic response, but every article's needs are different.