Does that line about the Red Death coming "like a thief in the night" sound familiar? If it does, that's because it's a really famous line from the Bible. It's from Paul's First Letter to the Thessalonians 5:4, in which Paul is referring to the last judgment. According to him, Jesus will come when the world is least expecting it ("like a thief in the night"), to judge sinners for all of eternity. If you're caught unprepared, you're in trouble. So it's better to always be expecting the judgment, and focused not on the "pleasures of this world" (which have a tendency to be sinful) but on the promise of the next. Otherwise, you're a fool.
Poe takes Paul's phrase about Jesus and applies it to the Red Death. In doing so, it might look as if he makes the Red Death into an "apocalyptic" figure – a figure who symbolizes the end of the world. Like the "sinners," Prince Prospero and his friends foolishly ignore the inevitable end of "life's pleasures" that lies at the end of the road, and like them, they pay the price for it. The "pleasures of this world" don't fare too well in "The Masque of the Red Death." But what's different is that, instead of judging sinners like Jesus is supposed to, the Red Death just kills everybody. The inevitable end Poe envisions in his story isn't one of judgment and eternal salvation or suffering. It's summed up in that last line: "And Darkness and Decay and the Red Death held illimitable dominion over all" (14).
If you find this line of thought about the story interesting, it can be deepened by exploring the ways in which the masquerade at the heart of Poe's story might be a symbol for "the world." In apocalyptic literature, "the world" is usually a bad word: it refers to the base, evil, and profane kind of life we live "down here," as opposed to the higher life with God. The world just before the judgment (which is supposed to be the moment when the world is at its very worst) is often depicted as topsy-turvy, chaotic, violent, frenzied, grotesque, and thoroughly absorbed in decadent sin. Does this remind you of anything?