The reason why...

First things first: every single person interviewed in this "documentary" suffered from extreme anxiety! Sleep Paralysis is a Common Occuring phenomenon. Up to 30% of the population are aware of it. Why? Because it happens to all of us as we enter (and while we remain in) REM sleep.
Don't take my word for it: there's tons and tons of work on the subject. From Web Md to lengthy University Research. Look it up!
However I was at least expecting to enjoy the re constitutions of the said-experiences (as in a horror setting). Instead we only witnessed cheesy second-grade special effects and terrible makeup that made me completely lose my time but what should I have expected from the talentless director who brought us the outlandishly rotten "Room 237" -yeah, if Stanley Kubrick directed the American's lunar landing and if people are having nightly visitations by aliens or demons, can't you make it a little more entertaining...loser???
Next time get Oren Peli as A.D.