I have always some doubt about the intensity of Michael reaction for Thriller video and if he really wanted to stop the sales of the music video, I wonder if it was not simply to calm down the JW, I mean he have just after that made various participation to song with strong horror themes like Somebody Watching Me, Centipede, Torture and later Eaten Alive, two of these titles are written by him; there are also that the Victory tour have scary moments with strong supernatural elements, close to the horror, that don't make any sense.
For Thriller and State of Shock I believe that they wanted Vincent Price and Jagger but ultimately they couldn't have them for the tour, for Jagger it's 100% sure they have asked him, if I remember correctly he have said he didn't want to do it because it was too much to travel to USA for just one song in a concert, there are also this test sound that he have been posted by Sugarfoot Muffett from the Victory tour:
So apparently they were very serious to make that, for Thriller I think that would have probably have done after Working Day of Night, because the scary transition, honestly Michael should have replaced them with others iconic horror actor and popular rock singer, for example someone like Robert Englund (or someone older) for the voice and could ask to Van Halen group to replace Jagger, I mean I like State of Shock, that have a good success but it was not the biggest song of Michael, for Thriller it was more complicated because the iconic performance of Price, but I think they could have found another actor.