This post is a bit old, but I thought it was amusing, since we had a DFRPG game at GenCon called 'Don't Say a Word.' Slenderman was our main villain, and we do, in fact, have him statted up.
We assumed that the Slenderman was a fetch-like creature a la Proven Guilty. Fetches take the form of popularly frightening figures, so it made sense to us. We didn't make him a faerie-- instead, we made him a spirit from the outer reaches of the Never-Never with fetch-like qualities-- after a bit of time, the fetch started actually BECOMING the thing people were so afraid of, rather than just impersonating it. You could easily stat him as a wyldfae fetch, though, and just make him a particularly inhuman, confusing one.
We statted him according to the power-level of the game, which is generally good policy. That game was an 8-refresh PC game, with 6 PCs, so we didn't go too overboard with him-- he was invisible to adults, but fear-eaters like Malvora could smell his presence, the Sight could pick him out, and people could still aim in his general direction. I believe we added a caveat that one of the adult characters who had been involved in a major fire could see him, too. We gave him all the usual fear-eater abilities, plus Spiderwalk, Worldwalker, Supernatural Speed, and Inhuman Recovery. His Catch was True Courage-- we've mused that House Malvora probably has that Catch as well. In one of our sessions, our Malvora PC decided to try feeding off the Slenderman to steal its reserves of fear and weaken it-- we allowed that, because it was a cool idea.
In a different, long-term home game, we used a Slenderman built for PCs who had reached 11 Refresh at that point, so he was significantly more terrifying. I believe he had Mythic Recovery, among other things, and the ability to keep coming back to the mortal world unless you killed him while he was in his home in the Never-Never-- a pretty scary-ass place, which our GM delighted in describing in lurid detail. While on his home plane, he was visible, at least, but it's hard to scrounge up True Courage on-the-spot. We pretty much had to bring a Knight of the Cross with us to avoid getting smeared.