Why don't blow up or destroy the statue?

Being that the statue is clearly of a supernatural nature I'm sure whatever they tried would somehow backfire on them, or as in the case of dynamite, it might simply fail to go off. I'm pretty sure whatever they might try, in the end they would find the statue still standing where it always was.

Free your mind and your ass will follow

I actually don't think the statue is a physical thing but just a manifestation of the cursed fog. Once you enter it you are in your own separate instance with the statue. Even if you tired to blew it up then and there, it probably wouldn't work, and it would still be there when someone else enters the fog anyway. Also you'd still be doomed.

I think this is supported somewhat by the fact that both girls enter the fog and have an encounter with the same statue, but never cross paths and never hear each other or others call out to them while in the fog.

It's also worth noting how efficient the curse is. You enter the fog and encounter the statue with ease, then it quickly allows you to leave the fog in the same direction after doing its thing.

avoid looking at it.

Some supernatural power probably protects the statue