This thesis statement is an effective one for a compare/contrast paper. To answer this question, we first have to be clear on what a thesis statement for this type of paper needs to look like.
The thesis statement for a paper that compares and contrasts two subjects needs to do two things. First, it must state the subjects being compared and contrasted. Second, it must clarify the specific aspects -- usually three -- that will be used to compare and contrast the subjects.
First, this thesis statement makes clear the two main subjects that are going to be compared and contrasted. In this case, these main subjects are two short stories: Jacobs' "The Monkey's Paw" and Saki's "The Open Window."
Next, the thesis statement clearly states the three subtopics that will be used in discussing these subjects. The two stories will be compared and contrasted using three aspects of the stories. These aspects are symbolism, setting, and characterization. The thesis statement also indicates that these three aspects of the stories all do the same thing: help the author "explore the nature of good and evil in mankind in the early twentieth century."
As such, the sample thesis statement given in the question meets both of these criteria. For these reasons, it is an effective thesis statement for a paper that compares and contrasts two subjects using three specific aspects.