Night Terror is something new, but I have a feeling I know what it is.
Here's what each thing in Banned Footage Volume 1 is supposed to be:
NIGHTMARE: Wave-based survival thing starring Clancey (part of 'Clancey's story' which some of the Banned Footage DLC stuff covers), has two modes: Story & Survival mode. Seems to last 10 waves a stage. Apparently has some weapon crafting system, multiple stages, and new types of Molded not in the main game appear in it.
BEDROOM: Puzzle-focused DLC story chapter starring Clancey (another part of his story). Has a nursery rhyme theme, and may or may not also have a stalker in it.
ETHAN MUST DIE: Apparently a "challenge mode" for RE7 featuring remixed locales from the main game and new locations, kind of like an objective mode, apparently has various new things in it from the main game and is made to seriously challenge the player as they complete objectives and try to survive.
(the above should be around 90% accurate, not 100% accurate.)
NIGHTMARE is supposed to have a "Story" and "Survival" mode, I think NIGHTMARE may be the name of the story mode half, and NIGHT TERRORS the name of the Survival Mode half (or visa versa). I'd be surprised if it was something else.